Designing Stress Scenarios

Thomas Philippon, Cecilia Parlatore   Apr 26,2022

We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk... Read More

Economic Implications of Scaling Blockchains

Kose John,Thomas Rivera, Fahad Saleh   May 24,2022

We compare the economic implications of scaling blockchains under the Proof-of-Work (PoW) and Proof-of-Stake (PoS) consensus protocols. We study an... Read More

Equilibrium Staking Levels in a Proof-of-Stake Blockchain

Kose John,Thomas Rivera, Fahad Saleh   May 24,2022

We study the equilibrium level of staking in a Proof-of-Stake blockchain when investors have different trading horizons. We find that,... Read More

Intermediation via Credit Chains

Jian Li. , Zhiguo He   Jun 03,2022

The modern financial system features complicated financial intermediation chains, with each layer performing a certain degree of credit/maturity transformation. We... Read More

Blockchain Adoption in a Supply Chain with Market Power

Garud Iyengar,Jay Sethuraman,Wenjun Wang, Fahad Saleh   Jun 30,2022

We examine a supply chain with a single risk-averse manufacturer who purchases from vendors and sells to consumers. Within this... Read More

The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume

Joel Hasbrouck,Thomas Rivera, Fahad Saleh   Aug 17,2022

We demonstrate that increasing trading fees at a decentralized exchange (DEX) can increase DEX trading volume. This result arises due... Read More

Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Johan Hombert, Bruno Biais , Pierre-Olivier Weill   Mar 29,2021

Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such... Read More

Strategic Fragmented Markets

Ana Babus , Cecilia Parlatore   Apr 30,2021

We study the determinants of asset market fragmentation in a model with strategic investors that disagree about the value of... Read More

Endogenous Specialization and Dealer Networks

Batchimeg Sambalaibat   Jul 07,2021

We build a directed search model of network formation. We propose that a core-periphery interdealer network arises from dealer specialization. Read More

A Theory of Liquidity Spillover Between Bond and CDS Markets

Batchimeg Sambalaibat   Jul 07,2021

I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More