Employee Profile

Patrick Konermann

Associate Professor

Department of Finance

Room number B4Y-070
E-mail patrick.konermann@bi.no

Biography

Personal homepage

Publications

Shows 3 of 3 publication(s)

Article Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag (2020)

Equilibrium Asset Pricing in Directed Networks

Review of Finance 25(3) p. 777-818 Doi: https://doi.org/10.1093/rof/rfaa035

Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate through the economy command a higher market price of risk. Second, shock-receiving assets earn an extra premium since their valuation ratios drop upon shocks in connected assets. Third, a hedge effect pushes risk premia down: when a shock propagates through the economy, an asset that is unconnected becomes relatively more attractive and its valuation ratio increases.

Article Nicole Branger, Patrick Konermann, Christian Schlag (2019)

Optimists and Pessimists in (In)Complete Markets

Journal of Financial and Quantitative Analysis 55(8) p. 2466-2499 Doi: https://doi.org/10.1017/S002210901900070X

We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In a model with jumps in aggregate consumption, incompleteness barely matters, since the consumption claim resembles an insurance product against jump risk and effectively reproduces approximate spanning. In a long-run risk model with jumps in the long-run growth rate, market incompleteness affects speculation, and investor survival. Jump and diffusive risks are more balanced regarding their importance and, therefore, the consumption claim cannot reproduce approximate spanning.

Article Patrick Konermann, Christoph Meinerding, Olga Sedova (2013)

Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

Review of Financial Economics 22(1) p. 36-46 Doi: https://doi.org/10.1016/j.rfe.2012.08.001

Shows 5 of 30 publication(s)

Conference lecture Patrick Konermann, Paul Ehling, Alessandro Graniero (2020)

Academic Degrees
Year	Academic Department	Degree
2014	University of Muenster	Dr.rer.pol
2010	University of Muenster	Diploma in Business Economics

Work Experience
Year	Employer	Job Title
2021 - Present	BI Norwegian Business School	Associate professor
2016 - 2020	BI Norwegian Business School	Assistant Professor
2015 - 2016	University of Muenster	Postdoctoral scholar with teaching duties
2015 - 2015	BI Norwegian Business School	Visiting scholar
2010 - 2014	University of Muenster	Research assistant

Patrick Konermann

Biography

Publications

Equilibrium Asset Pricing in Directed Networks

Optimists and Pessimists in (In)Complete Markets

Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

Asset Pricing with a CEO

Asset Pricing with a CEO

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Equilibrium Asset Pricing in Directed Networks

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Equilibrium Asset Pricing in Directed Networks

Equilibrium Asset Pricing in Directed Networks

Equilibrium Asset Pricing in Directed Networks

Equilibrium Asset Pricing in Directed Networks

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness