D K Dimitrov

D K Dimitrov

PhD, University of Amsterdam

Daniel K Dimitrov

👋 Welcome to my personal page. I’m a financial researcher and risk manager at De Nederlandsche Bank’s Financial Markets division. My research covers areas in macro-finance, asset pricing, financial stability, and risk management. I also teach part-time at the University of Amsterdam.

📧 You can reach me at daniel.k.dimitrov@gmail.com.

This page shares my ongoing research projects. The views expressed here do not necessarily correspond to those of the central bank.

Book Chapters

  • Central Bank Capital and Shareholder Relationship (with M. Bonetti, D. Broeders, D. Chen). Forthcoming in Central Bank Capital in Turbulent Times View Paper. Presented at DNB Workshop on Central Bank Capital in Turbulent Times; CEBRA; OeNB and SUERF Annual Economic Conference Vienna.

đź“ť Working Papers (2023-24)

  • Climate-Linked Bonds (w/ D. Broeders and N. Verhoeven)View Paper.
  • Macroprudential Regulation: A Risk Management Approach (with Sweder van Wijnbergen). View Paper, Code. Prensetend at the Univerisity of Amsterdam, De Nederlandsche Bank, ECB Bank Supervision Research Seminar Series, IRMC, IFABS, ESCB Research Cluster on Financial Stability, MPPG Wroking Group Seminar Series, Bank of Finland RiskLab Conference on AI and Systemic Risk Analytics
  • Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector (with Sweder van Wijnbergen). View Paper, Slides. Presented at DNB Seminar Series; University of Amsterdam; IFABS; ESCB Financial Stability Research Cluster; EuroSystem’s MPAG workshop; Bulgarian Council for Economic Analyses Annual Conference
  • Intergenerational Risk Sharing with Market Liquidity Risk (with Sweder van Wijnbergen). View Paper, Slides. Presented at the University of Amsterdam; KVS New Paper Series.
  • Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. View Paper, Slides

🚀 Ongoing Projects

  • Strategic Asset Allocation with Private Assets: Untangling Illiquidity. [Draft available upon request]

    This paper addresses the asset allocation problem of long-term investors with exposures to illiquid private asset classes (hedge funds, private equity, real estate, infrastructure, etc.). A dynamic portfolio choice model captures the temporal nature of illiquidity, where trading uncertainty hinders the investor from freely adjusting their allocations to the strategic targets. Calibrating the optimization model to analyst-based market expectations, and weighing up the risks of illiquidity against the premia and diversification potential associated with private asset classes, I quantify the welfare impact of illiquidity in investors’ asset mix.

🎓 Ph.D. Thesis

A graduate from the University of Amsterdam, supervised by Prof. Roel Beetsma and Prof. Sweder van Wijnbergen. My Ph.D. thesis, “Three essays on the optimal allocation of risk”, discusses asset allocation, illiquidity, intergenerational risk sharing, and systemic risk for financial institutions.