Liquidity and asset returns under asymmetric information and imperfect competition
Review of Financial Studies, 25 (5). pp. 1339-1365.
Securitized Banking, Asymmetric Information, and Financial Crisis: Regulating Systemic Risk Away
We develop a model of securitized (Originate, then Distribute) lending, in which both publicly observed aggregate shocks to values of securitized loan...
Tackling the “Too Big To Fail” conundrum: Integrating market and regulation
Systemic risk is, by nature, unpredictable. Statistical models can fail to identify it. We need to maintain resource buffers as well as to implement...
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise
We propose a new estimator of multivariate ex-post volatility that is robust to microstructure noise and asynchronous data timing. The method is based...
Financial Regulation in General Equilibrium
This paper explores how different types of financial regulation could combat many of the phenomena that were observed in the financial crisis of 2007...
The flip side: high frequency trading
HFT has its benefits but also poses potential systemic risks. Bruno Biais and Paul Woolley discuss the need for deft regulation.
Transparency in the financial system: rollover risk and crises
The paper presents a theory of optimal transparency in the financial system when financial institutions have short-term liabilities and are exposed to...
Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
This paper explores the trading incentives of financial institutions induced by the interaction between regulatory accounting rules and capital...
The structure of CEO pay: pay-for-luck and stock-options
We develop a stylized model of efficient contracting in which firms compete for CEOs. The optimal contracts are designed to retain and insure CEOs...
New light on choice of investment strategy
According to classical economics, there are no gains to be made in an efficient market. Yet markets are often far from efficient and the gains are...
Legal Aspects of Bank Bail-Ins
The aim of the bail-in proposal is that governments should have an alternative option to taxpayer-funded rescues of systemic banks. It operates...
Bond Variance Risk Premia
Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains...
Smart Buyers
In many bilateral transactions, the seller fears being underpaid because its outside option is better known to the buyer. We rationalize a variety of...
