Liquidity Risk and the Dynamics of Arbitrage Capital
We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...
The ECB as Lender of Last Resort: Banks versus Governments
With the OMT program the ECB has de facto taken over the role as a lender of last resort (LoLR) for euro area governments. While this has been...
A Proposal for an Open-Source Financial Risk Model
This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...
Systems and Systemic Risk in Finance and Economics
This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the...
Risk Models-at-Risk
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...
Dynamic equilibrium with two stocks, heterogeneous investors, and portfolio constraints
Review of Financial Studies, 26 (12). pp. 3104-3141.
Rights offerings, trading, and regulation: A global perspective
We study rights offerings using a sample of 8,238 rights offers announced during 1995-2008 in 69 countries. Although shareholders prefer having the...
Debt Maturity and the Liquidity of Secondary Debt Markets
We develop an equilibrium model of debt maturity choice of firms, in the presence of fixed issuance costs in primary debt markets, and an over-the...
Lost at Sea: The Euro Needs a Euro Treasury
The euro crisis remains unresolved even as financial markets may seem calm for now. The current euro regime is inherently flawed. Recent reforms have...
The new market-risk regulations
Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical...
Capital Structure and Investment Dynamics with Fire Sales
We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...
Walrasian Foundations for Equilibria in Segmented Markets
We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...
When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...
The effect of monitoring on CEO pay practices in a matching equilibrium
We present a model of efficient contracting with endogenous matching and limited monitoring in which firms compete for CEOs. The model explains the...
Say Pays! Shareholder Voice and Firm Performance
This paper estimates the effects of Say-on-Pay (SoP); a policy that increases shareholder "voice" by providing shareholders with a regular vote on...
A Theory of the Evolution of Derivatives Markets
This paper develops a theory of the opening and dynamic development of a futures market with competing exchanges. The optimal contract design involves...
