Claudia Lambert - House of Finance

Claudia Lambert
Contact
Information
Goethe-University Frankfurt
House of Finance - Office: 2.11
Grüneburgplatz 1
60323 Frankfurt am Main
Germany
Education Goethe-University Frankfurt, Frankfurt, Germany
Research
Interests
e-mail: claudia.lambert@hof.uni-frankfurt.de
Ph.D. Program in Economics 10/2007 – 09/2012
• Thesis: Regulation, risk taking and bank behavior
• Defended: 14 September 2012 with distincton: summa cum laude
• Preliminary Exams: 2008
• Field Track: Econometrics, Microeconomics
University of Maastricht, Maastricht, The Netherlands
M.Sc. Economics 09/2004 – 03/2006
• Majors: Money, Credit and Banking; Public Finance
Bauhaus University Weimar, Weimar, Germany 10/1999 – 03/2004
Diplom (M.Phil. equiv.) in Cultural Science and Political Economy
Banking Regulation, Banking Networks, Financial Economics
References Prof. Dr. Horst Entorf
Goethe-University Frankfurt
Chair of Econometrics
entorf@wiwi.uni-frankfurt.de
+49 (0) 69 798-34765
Invited
Conference
Presentations
Prof. Dr. Dr. h.c. Reinhard H. Schmidt
Goethe-University Frankfurt
Department of Finance
schmidt@finance.uni-frankfurt.de
+49 (0) 69 798-33646
Prof. Dr. Hendrik Hakenes
Friedrich-Wilhelms-University Bonn
Institute for Financial Economics
and Statistics
hakenes@uni-bonn.de
+49 (0) 228 73-9225
Bundesbank and Centre for European Economic Research
Frankfurt, Germany
Basel III and Beyond: 2011
Regulating and Supervising Banks in the Post-Crisis Era
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Conference
Presentations
Grants and
Honors
European Finance Association (EFA) 2012
Copenhagen, Denmark
Verein für Socialpolitik (VfS) 2012
Göttingen, Germany
4 th International Finance and Banking Conference (IFABS) 2012
Valencia, Spain
Annual Meeting of the American Economic Association (AEA) 2012
Chicago, IL, USA
CEPR Winter Confernce on Financial Intermediation 2012
Lenzerheide, Switzerland
14 th Swiss Society for Financial Market Research 2011
Zurich, Switzerland
French Finance Association (AFFI) 2010
Paris, France
Southern Finance Association Annual Meeting 2010
Asheville, NC, USA
International Risk Management Conference 2010
Florence, Italy
INFINITI Conference 2010
Dublin, Ireland
ESCEM Conference on Regulation 2010
Paris, France
Best Paper Award at the Annual Conference of the
Financial Engineering and Banking Society (FEBS) 2012
ESCP Europe Business School, London
Goethe-University Frankfurt, Travel Grant 2012
AEA Annual Meeting
Goethe-University Frankfurt, Travel Grant 2010
French Finance Association
German Academic Exchange Service, Travel Grant 2010
Southern Finance Annual Meeting
German Research Foundation, Scholarship 2007 - 2008
Ph.D. Program
German National Academic Foundation, Scholarship 2002 - 2004
Graduate Studies
German National Academic Foundation, Research Grant 2003
Master thesis, Visiting Scholar
German Academic Exchange Service, Internship Grant 2001
CBS News Productions, New York City, NY, USA
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Teaching
Experience:
Academic and
Non-Academic
Professional
Service
Goethe-University Frankfurt, Frankfurt, Germany
Instructor 2012
• Microeconometrics of Banking, Undergraduate level
(lecture and tutorial, independently designed)
Goethe Business School, Frankfurt, Germany
Executive teaching, European Supervisory Education Initiative 2012
• Risk Models in Banks
The role of risk management: What do we now? An Academic View
Bauhaus University Weimar, Weimar, Germany
Teaching Assistant 2002
• Merger and Acquisitions, Undergraduate level
Prof. Dr. Matthias Maier
ITGAIN Consulting GmbH, Frankfurt, Germany
Executive teaching 2012
• Regulating of dynamic capital markets - current developments and future
challenges
ITGAIN Consulting GmbH, Hamburg, Germany
Executive teaching 2011
• Liquidity und liquidity premium: economic and
regulatory requirements under Basel III
Discussant
• 14 th Swiss Society for Financial Market Research, Zurich, Switzerland 2010
• Southern Finance Association, Asheville, NC, USA 2010
• INFINITI Conference, Dublin, Ireland 2010
Referee
• Southern Finance Association, Ashville, NC. USA 2010
Working Papers [1] Lambert, C., F. Noth, and U. Schüwer. How do banks react to increased asset
risk? Evidence from Hurricane Katrina. (Job market paper)
Professional
Experience
[2] Bülbül, D., and C. Lambert. Credit porfolio modelling and its effect on capital
requirements.
[3] Lambert, C. Do banks require trust to participate in opaque contracts?
[4] Bülbül, D., and H. Hakenes, and C. Lambert. Driving forces behind risk
management in banking.
[5] Lambert, C. Government intervention, risk taking and regulatory reform.
[6] Lambert, C., F. Noth, and U. Schüwer. How do insured deposits affect bank
stability? Evidence from the 2008 Emergency Economic Stabilization Act.
ITGAIN Consulting GmbH, Hannover, Germany
Senior consultant (part time) 04/2009 – 07/2012
• Global bank management
KPMG DTG-AG, Frankfurt, Germany
Consultant 10/2006 – 09/2007
• Financial Risk Management
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Skills Software and Programming Skills
Stata, Matlab, Visual Basic for Applications, SQL, LaTeX
Languages
German (native), English (fluent), Swedish (basic), Russian (basic) French (basic)
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Abstracts How do banks react to increase asset risk? Evidence from Hurricane
Katrina (with Felix Noth and Ulrich Schüwer)
The instability of banks during the recent financial crisis underlines the importance
of understanding how banks determine their capital ratios. This paper conducts
the first empirical assessment on how banks adjust their capital ratios
following an exogenous shock to their asset risks. The existing literature, which
uses non-experimental identification, faces the difficulty that banks typically
determine capital ratios and asset risks simultaneously. Using Hurricane Katrina
as a natural experiment, we find that banks in the disaster areas increase their
risk-based capital ratios after the hurricane. This finding shows that banks
act precautious by themselves irrespective of regulatory requirements. However,
when we examine low-capitalized and high-capitalized banks separately, we find
that results are driven by high-capitalized banks. In addition, high-capitalized
banks increase their risk-based capital ratios by decreasing loans and not by
increasing capital.
Credit porfolio modelling and its effect on capital requirements (with
Dilek Bülbül)
The subprime crisis revealed that the adoption of suitable systems for the management
of credit risk is of utmost concern. The Basel Committee on Banking
Supervision (2009) advises banks to use credit portfolio models with caution
when assessing the capital adequacy. This paper investigates whether decisions
on total risk-based capital ratios are channeled through credit portfolio models.
In other words, do credit portfolio models serve as a relevant determinant for
banks to adjust their capital allocation? To empirically test the relationship we
measure the average treatment effect by conducting a quasi-natural experiment in
which we employ a propensity-matching approach to panel data. We find that the
adoption of credit portfolio models positively and significantly affects regulatory
capital decisions of banks both directly following the introduction as well as over
a longer time horizon. By now it is commonly accepted that overreliance on
credit portfolio models composes a fundamental cause of the current financial
crisis. Our results put the debate about overreliance on quantitative models in
a new perspective. This knowledge may prove valuable for regulators who aim
to understand bank behaviour and thus advance regulation.
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Do banks require trust to participate in opaque contracts?
The absence of trust among intermediaries became particularly evident in the
midst of the financial crisis, which was accompanied by extremely rapid deterioration
in economic activity. To date, the importance of trust for interbank markets
is well recognized, but only a few studies have examined the role of trust in
interbank relationships. This paper tests the hypothesis that trust is positively
associated with banks’ participation in loan pools. The empirical results show
that a bank’s decision to participate in loan pools is heavily influenced by trust.
However, the results show that trust has less influence in the case of the firsttime
participation of banks, which rules out endogeneity concerns. The banks are
reluctant to interconnect with other banks through loan pools if they are either
betrayal averse or unsure about the risk transfer mechanism that is implemented.
The drivers of active risk management in banking (with Dilek Bülbül and
Hendrik Hakenes)
This paper investigates the factors influencing banks decision to engage in active
risk management, both from a theoretical and an empirical perspective. In
recent decades, credit risk management in banks has become highly sophisticated
and banks became more active in the management of credit risks. We identify
two driving factors: Bank competition and the sector concentration in the loan
market. We find empirical support for our hypotheses, using a unique data set
of 249 German banks, partially raised by hand. Bank competition pushes banks
to implement active risk management. Sector concentration on the loan market
promotes credit portfolio modelling, but inhibits credit risk transfer. Our study
sheds light on practices of credit risk management in banking.
How do insured deposits affect bank stability? Evidence from the 2008
Emergency Economic Stabilization Act (with Felix Noth and Ulrich Schüwer)
This paper tests the hypothesis that an increase in the amount of insured deposits
causes a bank to become more risky. We use exogenous variation introduced by
the U.S. Emergency Economic Stabilization Act in October 2008, which increased
the deposit insurance coverage from US$ 100,000 to US$ 250,000 per depositor.
For some U.S. banks, this event significantly increased the amount of insured
deposits. For other U.S. banks, it had only a minor effect. Our analysis shows
that an increase in the amount of insured deposits induces the more affected
banks to become more risky relative to the less affected banks. In particular, the
more affected banks increase their investments in risky assets. To our knowledge,
this is the first study that provides causal within-country evidence on the effect
of insured deposits on bank stability.
Government intervention, risk taking and regulatory reform
The passage of the Dodd-Frank Act was accompanied by an intense discussion of
its merits. There are opposing opinions as to whether the Act will stabilize
the banking system or whether banks’ incentives toward risk taking will be
affected. This paper analyzes whether the banks that previously participated
in the Troubled Asset Relief Program (TARP) systematically differ from the
banks that did not benefit from TARP after the Dodd-Frank Act was introduced.
To guarantee that similar banks are compared across the two groups, I employ
a difference-in-difference estimation conditional on matching. I find that the
introduction of the law is generally associated with less risk taking by banks.
Interestingly, however, I also observe that the banks that benefited from TARP
increase their risk levels and become less stable.
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