Daniel K Dimitrov

I’m a fnancial researcher and risk manager at De Nederlandsche Bank’s Financial Markets division. My research covers areas of macro-finance, asset pricing, portfolio allocation, and risk management. You can contact 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.

Ph.D. Thesis

I’m a recent Ph.D. 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.

Working papers

  • Macroprudential Regulation: A Risk Management Approach. (joint with Sweder wan Wijnbergen) link, code

  • Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (joint with Sweder wan Wijnbergen) link, slides

  • Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. link, slides

  • Intergenerational Risk Sharing with Market Liquidity Risk. (joint with Sweder wan Wijnbergen) link, slides

Ongoing projects

  • Strategic Asset Allocation with Private Assets: Untangling Illiquidity. slides

    We use a dynamic portfolio choice model to approach the problem of optimal asset allocation with illiquid assets. Illiquidity comes in the form of uncertain trading potential and the inability to adjust the investor’s allocation to strategic targets. Along with the traditional asset mix of bonds and equity, we also allow investments in private asset classes such as hedge funds, private equity, direct real estate, and infrastructure. Despite the endemic illiquidity of these asset classes, we illustrate quantitatively that they improve significantly long-term investors’ welfare by providing diversification and return potential.

    • Centra Bank Capital and Shareholder Relationship (w/ M. Bonetti, D. Broeders, D. Chen) Although central banks cannot default as long as they have the rght to issue legal tender, capital adequacy is important to be a credble, independent monetary authority. We study the capital polcy that the central bank and the monetary authority may negotiate on, applyng option pricing modelling approaches.