Anastasia Kartasheva
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Prof. Dr.
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Kartasheva
First name
Anastasia
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anastasia.kartasheva@unisg.ch
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+41 71 224 7995
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  • Publication
    Insurers as Asset Managers and Systemic Risk
    (Oxford University Press, 2022-06-17)
    Ellul, Andrew
    ;
    Jotikasthira, Pab
    ;
    Kartasheva, Anastasia orcid-logo
    ;
    Lundblad, Christian
    ;
    Wagner, Wolf
    Type: journal article
    Journal: Review of Financial Studies
    Volume: 35
    Issue: 12
    DOI: 10.1093/rfs/hhac056
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/108606
    Scopus© Citations 7
  • Publication
    Type: journal article
    Journal: Journal of Risk and Insurance
    Volume: 88
    Issue: 4
    DOI: https://doi.org/10.1111/jori.12368
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/109705
  • Publication
    CoCo Bonds Issuance and Bank Fragility
    (Elsivier, 2020-06)
    Avdjiev, Stefan
    ;
    Bogdanova, Bilyana
    ;
    Bolton, Patrick
    ;
    Jiang, Wei
    ;
    Kartasheva, Anastasia orcid-logo
    The promise of contingent convertible capital securities (CoCos) as a ”bail-in” solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: (1) the propensity to issue a CoCo is higher for larger and better capitalized banks; (2) CoCo issues result in a statistically significant decline in issuers’ CDS spread, indicating that they generate risk-reduction benefits and lower costs of debt (this is especially true for CoCos that convert into equity, have mechanical triggers, and are classified as Additional Tier 1 instruments); (3) CoCos with only discretionary triggers do not have a significant impact on CDS spreads; and (4) CoCo issues have no statistically significant impact on stock prices, except for principal write-down CoCos with a high trigger level, which have a positive effect.
    Type: journal article
    Journal: Journal of Financial Economics
    DOI: 10.1016/j.jfineco.2020.06.008
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/112058
    Scopus© Citations 31
  • Publication
    CoCos: A Primer
    (Bank For International Settlements, 2015-09-15)
    Avdjiev, Stefan
    ;
    Bogdanova, Bilyana
    ;
    Kartasheva, Anastasia orcid-logo
    Type: journal article
    Journal: BIS Quarterly Review
    URL: https://www.bis.org/publ/qtrpdf/r_qt1309f.htm
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/105930
  • Publication
    Information Effect of Entry into Credit Ratings Market: The Case of Insurers’ Ratings
    (Elsivier, 2012-06-01)
    Doherty, Neil A.
    ;
    Kartasheva, Anastasia orcid-logo
    ;
    Phillips, Richard D.
    The paper analyzes the effect of competition between credit rating agencies (CRAs) on the information content of ratings. We show that a monopolistic CRA pools sellers into multiple rating classes and has partial market coverage. This provides an opportunity for market entry. The entrant designs a rating scale distinct from that of the incumbent. It targets higher-than-average companies in each rating grade of the incumbent's rating scale and employs more stringent rating standards. We use Standard and Poor's (S&P) entry into the market for insurance ratings previously covered by a monopolist, A.M. Best, to empirically test the impact of entry on the information content of ratings. The empirical analysis reveals that S&P required higher standards to assign a rating similar to the one assigned by A.M. Best and that higher-than-average quality insurers in each rating category of A.M. Best chose to receive a second rating from S&P.
    Type: journal article
    Journal: Journal of Financial Economics
    Volume: 106
    Issue: 2
    DOI: http://dx.doi.org/10.1016/j.jfineco.2012.05.012
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/91527
  • Publication
    Design of Investment Promotion Policies
    (Elsevier, 2011-05-03)
    Kartasheva, Anastasia orcid-logo
    Over the last 20 years, developing countries have experienced the massive shift of financing and the operation of infrastructure from the public to the private sector. The paper analyzes how the government agency should structure the investment promotion policy. I develop a sequential contracting model between the government, investors and infrastructure providers and derive several properties of the optimal policy. The policy leaves investors uncertain about the project type and prescribes different levels of government support, in the form of tax or price distortions. However, the optimal policy does not change the expectations of investors about distribution of project returns. I characterize how the optimal policy depends on the revenue generation preferences of the government and the profitability of infrastructure projects in the country.
    Type: journal article
    Journal: International Journal of Industrial Organization
    Volume: 30
    Issue: 2
    DOI: https://doi.org/10.1016/j.ijindorg.2011.04.005
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/94188
  • Publication
    The supply of cyber risk insurance
    ( 2024-05-17)
    Dingchen Ning
    ;
    Martin Eling
    ;
    Anastasia Kartasheva orcid-logo
    Cyber risk losses are large and growing, yet the cyber insurance market is small. What constraints the insurance industry from providing larger capacity for cyber risk? We argue that cyber risk is special in that it combines heavy tails, uncertain loss distribution, and asymmetric information. We model the implications of these risk features for risk financing and then test them empirically in the context of the US cyber insurance market. Using an exogenous shock of the non-US affiliated reinsurance tax treatment in 2017, we establish the causal inference that insurers primarily rely on the internal capital market to supply cyber risk insurance. Then, we test which of the features of cyber risk contribute to the cost of external capital and confirm that all of them play a significant role.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/120213
  • Publication
    The supply of cyber risk insurance
    ( 2023-09-30)
    Dingchen Ning
    ;
    Anastasia Kartasheva orcid-logo
    ;
    Martin Eling
    Cyber risk insurance has been introduced for more than two decades in the United States, yet the insurance market for cyber risk is tiny amounting to 1% ($6.5 billion) of premiums in the U.S. property-casualty insurance market in 2021. In this paper, we analyze what constrains the insurance industry from providing larger capacity. We argue that cyber risk is special in that it is both information-intensive to underwrite and heavy-tailed. It leads to the tension between the need to raise large amounts of external capital to finance heavy-tailed risks and the high compensation demanded by capital providers due to information frictions. Hence, the suppliers are large insurance groups with a deep internal capital market, and their capacity is constrained. We start by providing empirical evidence that the cyber risk insurance market is dominated by large insurance groups and that, compared to other types of insurance, cyber insurance relies heavily on the groups' internal capital market. Then, using an exogenous shock on the tax treatment of the non-U.S. affiliated reinsurance in 2017, we establish the causal inference that insurers primarily rely on the internal capital market to supply cyber risk insurance.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/118240
  • Publication
    The supply of cyber risk insurance
    ( 2023-09-19)
    Dingchen Ning
    ;
    Anastasia Kartasheva orcid-logo
    ;
    Martin Eling
    Cyber risk insurance has been introduced for more than two decades in the United States, yet the insurance market for cyber risk is tiny amounting to 1% ($6.5 billion) of premiums in the U.S. property-casualty insurance market in 2021. In this paper, we analyze what constrains the insurance industry from providing larger capacity. We argue that cyber risk is special in that it is both information-intensive to underwrite and heavy-tailed. It leads to the tension between the need to raise large amounts of external capital to finance heavy-tailed risks and the high compensation demanded by capital providers due to information frictions. Hence, the suppliers are large insurance groups with a deep internal capital market, and their capacity is constrained. We start by providing empirical evidence that the cyber risk insurance market is dominated by large insurance groups and that, compared to other types of insurance, cyber insurance relies heavily on the groups' internal capital market. Then, using an exogenous shock on the tax treatment of the non-U.S. affiliated reinsurance in 2017, we establish the causal inference that insurers primarily rely on the internal capital market to supply cyber risk insurance.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/118238
  • Publication
    The supply of cyber risk insurance
    ( 2023-08-09)
    Dingchen Ning
    ;
    Martin Eling
    ;
    Anastasia Kartasheva orcid-logo
    Cyber risk insurance has been introduced for more than two decades in the United States, yet the insurance market for cyber risk is tiny amounting to 1% ($6.5 billion) of premiums in the U.S. property-casualty insurance market in 2021. In this paper, we analyze what constrains the insurance industry from providing larger capacity. We argue that cyber risk is special in that it is both information-intensive to underwrite and heavy-tailed. It leads to the tension between the need to raise large amounts of external capital to finance heavy-tailed risks and the high compensation demanded by capital providers due to information frictions. Hence, the suppliers are large insurance groups with a deep internal capital market, and their capacity is constrained. We start by providing empirical evidence that the cyber risk insurance market is dominated by large insurance groups and that, compared to other types of insurance, cyber insurance relies heavily on the groups’ internal capital market. Then, using an exogenous shock on the tax treatment of the non-U.S. affiliated reinsurance in 2017, we establish the causal inference that insurers primarily rely on the internal capital market to supply cyber risk insurance.
    Type: conference paper
    URI: https://www.alexandria.unisg.ch/handle/20.500.14171/117950