This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...
In this article, we review the growing literature on financial technology (FinTech) lending-the provision of credit facilitated by technology that improves the customer-lender interaction or used in lenders' screening and monitoring of borrowers. FinTech l ...
Innovations in statistical technology, in functions including credit-screening, have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater f ...
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures.The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...
We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond firs ...
Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...
Background: The Lifestyle-integrated Functional Exercise (LiFE) program is an intervention integrating balance and strength activities into daily life, effective at reducing falls in at-risk people >= 70 years. There is potential for LiFE to be adapted to ...
We use a dynamic model of financing decisions to measure agency conflicts for a large panel of 12,652 firms from 14 countries. Our estimates show that agency conflicts are large and vary significantly across firms and countries. Differences in agency confl ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...
This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit ...
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
We introduce debt issuance limit constraints along with market debt and bank debt to consider how financial frictions affect investment, financing, and debt structure strategies. Our model provides four important results. First, a firm is more likely to is ...
Today a wide range of technologies exist that support learning and teaching, ranging from learning management systems (LMS) to general social media platforms, such as Facebook and blogs. However, teaching with such tools and platforms can create various ob ...
Trade credit arises when a buyer delays payment for purchased goods or services. Its nature has predominantly been an area of inquiry for researchers from the disciplines of finance, marketing, and economics but it has received relatively little attention ...
