Felix Hermes
- PhD in Finance, Goethe University Frankfurt (10/2021 - 2027 expected)
- Visiting PhD Student, Texas A&M University, Mays Business School (02/2026 - 03/2026)
- MSc Economics, University of Amsterdam (09/2019 - 08/2020)
- BSc International Business & Finance, University of Groningen (09/2016 - 08/2019)
- Empirical Asset Pricing
- Financial Intermediation
- Money Markets
- Sovereign Bond Markets
- Non-Bank
- Financial Institutions
- International Finance
- Financial Stability
- Goethe University Frankfurt: Macroeconomics; Econometric Forecasting; International Finance
- University of Amsterdam: Economics, Markets & Organisations
- University of Groningen: Finance & Risk Management; Macroeconomics
Click here to download the CV.
Maik Schmeling (supervisor)
Professor of Finance
Goethe University Frankfurt
schmeling@finance.uni-frankfurt.de
Andreas Schrimpf
Head of Financial Markets
Bank for International Settlements
andreas.schrimpf@bis.org
Loriana Pelizzon (second supervisor)
Professor of Law and Finance
Goethe University Frankfurt & SAFE
pelizzon@safe-frankfurt.de
Davide Tomio
Assistant Professor of Finance
Mays Business School, Texas A&M University
tomio@tamu.edu
Hedge Fund Trading and Sovereign Bond Yield Sensitivity (Job Market Paper)
Abstract: This paper shows that the leveraged positioning of hedge funds amplifies the response of sovereign bond yields to shocks, leading to temporary overshooting. Combining granular regulatory data on repo positions with high-frequency monetary policy surprises, I study this amplification at the individual bond level. Four results emerge. First, even among comparable bonds, hedge funds add excess volatility on shock days, because their positioning raises the sensitivity of yields to the surprise. Second, this additional sensitivity accounts for more than a quarter of the total yield movement these surprises generate and scales with position intensity. Third, the amplification is two-sided and operates whether a shock moves prices in favor of a position or against it, consistent with leveraged investors rebalancing toward their desired exposure. Finally, it is concentrated among bonds held in directional books and essentially absent when the book offsets its long and short positions.
Best PhD Paper Award, International Finance and Banking Society (IFABS), 2026
The International Dimension of Repo: Five New Facts (Working Paper) with Maik Schmeling and Andreas Schrimpf
ECB Working Paper Series No. 3065, Media coverage: FT Alphaville, Risk.net
Stop Believing in Haircuts – At Least the Way You Think About Them (Working Paper) with Benedikt Ballensiefen, Jasper Knyphausen and Benoit Nguyen
Joined in October 2026, after an earlier version appeared as ECB Working Paper Series No. 3301
Internal Securities Markets (Work in Progress) with Georgios Angelis Alexiou, Benoit Nguyen and Davide Tomio
Hedge Fund Strategies (Work in Progress) with Davide Tomio