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 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.

đź“ť Working Papers (2023-24)

  • Central Bank Capital and Shareholder Relationship (with M. Bonetti, D. Broeders, D. Chen). View Paper
  • Macroprudential Regulation: A Risk Management Approach (with Sweder van Wijnbergen). View Paper, Code
  • Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector (with Sweder van Wijnbergen). View Paper, Slides
  • Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. View Paper, Slides
  • Intergenerational Risk Sharing with Market Liquidity Risk (with Sweder van Wijnbergen). 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.