Lukas Kremens

Lukas Kremens

PhD candidate in Finance

Department of Finance

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About me

Research interests
International Asset Pricing, Empirical Asset Pricing (primary)
Macro-Finance, Financial Intermediation (secondary)

Job market paper
Currency Redenomination Risk

 Personal website

Read the abstract and download the paper

I construct a time-series measure of currency redenomination risk in French, Italian, and German government bonds based on different types of CDS contracts. Older contracts do not cover redenomination into a newly issued French, Italian, or German currency as a credit event while newer contracts do. The risk of France or Italy leaving the Eurozone has sizeable spill-over effects on other Eurozone sovereigns. Sovereign yields across the Eurozone fall with increases in Italian redenomination risk, but respond heterogeneously to French redenomination risk: German and Austrian yields fall, while Portuguese yields rise. The findings are consistent with the interpretation that an Italian exit from the Eurozone is expected to remain isolated, whereas a French exit is more likely to be followed by a further disintegration of the currency union.

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Publications and additional papers

  • Currency Redenomination Risk (Job Market Paper): Best Job Market Paper, LTI Asset Pricing Conference 2018, Collegio Carlo Alberto (Turin)
  • The Quanto Theory of Exchange Rates (with Ian Martin), forthcoming, American Economic Review.  Best Paper Award, Annual Conference in International Finance 2017; SIX Best Paper Award 2018, Annual Conference of the Swiss Society for Financial Market Research; Runner-up, Vienna Symposium on FX Markets 2018