University of Maastricht, Maastricht, The Netherlands. Bauhaus University Weimar, Weimar, Germany 10/ /2004

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1 Claudia Lambert Contact Information Education Goethe-University Frankfurt House of Finance - Office: 2.11 Grüneburgplatz Frankfurt am Main Germany Goethe-University Frankfurt, Frankfurt, Germany claudia.lambert@hof.uni-frankfurt.de Ph.D. Program in Economics 10/ /2012 Thesis: Regulation, risk taking and bank behavior Defended: 14 September 2012 with distincton: summa cum laude Preliminary Exams: 2008 Field Track: Econometrics, Microeconomics University of Maastricht, Maastricht, The Netherlands M.Sc. Economics 09/ /2006 Majors: Money, Credit and Banking; Public Finance Bauhaus University Weimar, Weimar, Germany 10/ /2004 Diplom (M.Phil. equiv.) in Cultural Science and Political Economy Research Interests References Banking Regulation, Banking Networks, Financial Economics Prof. Dr. Horst Entorf Goethe-University Frankfurt Chair of Econometrics entorf@wiwi.uni-frankfurt.de +49 (0) Prof. Dr. Dr. h.c. Reinhard H. Schmidt Goethe-University Frankfurt Department of Finance schmidt@finance.uni-frankfurt.de +49 (0) Prof. Dr. Hendrik Hakenes Friedrich-Wilhelms-University Bonn Institute for Financial Economics and Statistics hakenes@uni-bonn.de +49 (0) Invited Conference Presentations Bundesbank and Centre for European Economic Research Frankfurt, Germany Basel III and Beyond: 2011 Regulating and Supervising Banks in the Post-Crisis Era 1 of 6

2 Conference Presentations European Finance Association (EFA) 2012 Copenhagen, Denmark Verein für Socialpolitik (VfS) 2012 Göttingen, Germany 4 th International Finance and Banking Conference (IFABS) 2012 Valencia, Spain Annual Meeting of the American Economic Association (AEA) 2012 Chicago, IL, USA CEPR Winter Confernce on Financial Intermediation 2012 Lenzerheide, Switzerland 14 th Swiss Society for Financial Market Research 2011 Zurich, Switzerland French Finance Association (AFFI) 2010 Paris, France Southern Finance Association Annual Meeting 2010 Asheville, NC, USA International Risk Management Conference 2010 Florence, Italy INFINITI Conference 2010 Dublin, Ireland ESCEM Conference on Regulation 2010 Paris, France Grants and Honors Best Paper Award at the Annual Conference of the Financial Engineering and Banking Society (FEBS) 2012 ESCP Europe Business School, London Goethe-University Frankfurt, Travel Grant 2012 AEA Annual Meeting Goethe-University Frankfurt, Travel Grant 2010 French Finance Association German Academic Exchange Service, Travel Grant 2010 Southern Finance Annual Meeting German Research Foundation, Scholarship Ph.D. Program German National Academic Foundation, Scholarship Graduate Studies German National Academic Foundation, Research Grant 2003 Master thesis, Visiting Scholar German Academic Exchange Service, Internship Grant 2001 CBS News Productions, New York City, NY, USA 2 of 6

3 Teaching Experience: Academic and Non-Academic Goethe-University Frankfurt, Frankfurt, Germany Instructor 2012 Microeconometrics of Banking, Undergraduate level (lecture and tutorial, independently designed) Goethe Business School, Frankfurt, Germany Executive teaching, European Supervisory Education Initiative 2012 Risk Models in Banks The role of risk management: What do we now? An Academic View Bauhaus University Weimar, Weimar, Germany Teaching Assistant 2002 Merger and Acquisitions, Undergraduate level Prof. Dr. Matthias Maier ITGAIN Consulting GmbH, Frankfurt, Germany Executive teaching 2012 Regulating of dynamic capital markets - current developments and future challenges ITGAIN Consulting GmbH, Hamburg, Germany Executive teaching 2011 Liquidity und liquidity premium: economic and regulatory requirements under Basel III Professional Service Working Papers Discussant 14 th Swiss Society for Financial Market Research, Zurich, Switzerland 2010 Southern Finance Association, Asheville, NC, USA 2010 INFINITI Conference, Dublin, Ireland 2010 Referee Southern Finance Association, Ashville, NC. USA 2010 [1] Lambert, C., F. Noth, and U. Schüwer. How do banks react to increased asset risk? Evidence from Hurricane Katrina. (Job market paper) [2] Bülbül, D., and C. Lambert. Credit porfolio modelling and its effect on capital requirements. [3] Lambert, C. Do banks require trust to participate in opaque contracts? [4] Bülbül, D., and H. Hakenes, and C. Lambert. Driving forces behind risk management in banking. [5] Lambert, C. Government intervention, risk taking and regulatory reform. [6] Lambert, C., F. Noth, and U. Schüwer. How do insured deposits affect bank stability? Evidence from the 2008 Emergency Economic Stabilization Act. Professional Experience ITGAIN Consulting GmbH, Hannover, Germany Senior consultant (part time) 04/ /2012 Global bank management KPMG DTG-AG, Frankfurt, Germany Consultant 10/ /2007 Financial Risk Management 3 of 6

4 Skills Software and Programming Skills Stata, Matlab, Visual Basic for Applications, SQL, LaTeX Languages German (native), English (fluent), Swedish (basic), Russian (basic) French (basic) 4 of 6

5 Abstracts How do banks react to increase asset risk? Evidence from Hurricane Katrina (with Felix Noth and Ulrich Schüwer) The instability of banks during the recent financial crisis underlines the importance of understanding how banks determine their capital ratios. This paper conducts the first empirical assessment on how banks adjust their capital ratios following an exogenous shock to their asset risks. The existing literature, which uses non-experimental identification, faces the difficulty that banks typically determine capital ratios and asset risks simultaneously. Using Hurricane Katrina as a natural experiment, we find that banks in the disaster areas increase their risk-based capital ratios after the hurricane. This finding shows that banks act precautious by themselves irrespective of regulatory requirements. However, when we examine low-capitalized and high-capitalized banks separately, we find that results are driven by high-capitalized banks. In addition, high-capitalized banks increase their risk-based capital ratios by decreasing loans and not by increasing capital. Credit porfolio modelling and its effect on capital requirements (with Dilek Bülbül) The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates whether decisions on total risk-based capital ratios are channeled through credit portfolio models. In other words, do credit portfolio models serve as a relevant determinant for banks to adjust their capital allocation? To empirically test the relationship we measure the average treatment effect by conducting a quasi-natural experiment in which we employ a propensity-matching approach to panel data. We find that the adoption of credit portfolio models positively and significantly affects regulatory capital decisions of banks both directly following the introduction as well as over a longer time horizon. By now it is commonly accepted that overreliance on credit portfolio models composes a fundamental cause of the current financial crisis. Our results put the debate about overreliance on quantitative models in a new perspective. This knowledge may prove valuable for regulators who aim to understand bank behaviour and thus advance regulation. 5 of 6

6 Do banks require trust to participate in opaque contracts? The absence of trust among intermediaries became particularly evident in the midst of the financial crisis, which was accompanied by extremely rapid deterioration in economic activity. To date, the importance of trust for interbank markets is well recognized, but only a few studies have examined the role of trust in interbank relationships. This paper tests the hypothesis that trust is positively associated with banks participation in loan pools. The empirical results show that a bank s decision to participate in loan pools is heavily influenced by trust. However, the results show that trust has less influence in the case of the firsttime participation of banks, which rules out endogeneity concerns. The banks are reluctant to interconnect with other banks through loan pools if they are either betrayal averse or unsure about the risk transfer mechanism that is implemented. The drivers of active risk management in banking (with Dilek Bülbül and Hendrik Hakenes) This paper investigates the factors influencing banks decision to engage in active risk management, both from a theoretical and an empirical perspective. In recent decades, credit risk management in banks has become highly sophisticated and banks became more active in the management of credit risks. We identify two driving factors: Bank competition and the sector concentration in the loan market. We find empirical support for our hypotheses, using a unique data set of 249 German banks, partially raised by hand. Bank competition pushes banks to implement active risk management. Sector concentration on the loan market promotes credit portfolio modelling, but inhibits credit risk transfer. Our study sheds light on practices of credit risk management in banking. How do insured deposits affect bank stability? Evidence from the 2008 Emergency Economic Stabilization Act (with Felix Noth and Ulrich Schüwer) This paper tests the hypothesis that an increase in the amount of insured deposits causes a bank to become more risky. We use exogenous variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance coverage from US$ 100,000 to US$ 250,000 per depositor. For some U.S. banks, this event significantly increased the amount of insured deposits. For other U.S. banks, it had only a minor effect. Our analysis shows that an increase in the amount of insured deposits induces the more affected banks to become more risky relative to the less affected banks. In particular, the more affected banks increase their investments in risky assets. To our knowledge, this is the first study that provides causal within-country evidence on the effect of insured deposits on bank stability. Government intervention, risk taking and regulatory reform The passage of the Dodd-Frank Act was accompanied by an intense discussion of its merits. There are opposing opinions as to whether the Act will stabilize the banking system or whether banks incentives toward risk taking will be affected. This paper analyzes whether the banks that previously participated in the Troubled Asset Relief Program (TARP) systematically differ from the banks that did not benefit from TARP after the Dodd-Frank Act was introduced. To guarantee that similar banks are compared across the two groups, I employ a difference-in-difference estimation conditional on matching. I find that the introduction of the law is generally associated with less risk taking by banks. Interestingly, however, I also observe that the banks that benefited from TARP increase their risk levels and become less stable. 6 of 6