Papers

RESET

Tags

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

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 30,20210

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

Private Compensation and Organizational Design

Qing Liu, Lucy White , Andrea Buffa   Sep 15,2021

Most of the literature on organizational design and incentives assumes public contracting. Yet most real world compensation contracts are private... Read More

A Theory of Participation in OTC and Centralized Markets

Jerome Dugast, Pierre-Olivier Weill , Semih Uslu   Sep 29,2021

Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we study a... Read More

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Nov 02,2021

We propose a model of strategic debt renegotiation in which businesses are sequentially interconnected through their liabilities. This financing structure,... Read More

Model Secrecy and Stress Tests (JF forthcoming)

Basil Williams Yaron Leitner   Nov 17,20210

Should regulators reveal the models they use to stress test banks? In our setting, revealing leads to gaming, but secrecy... Read More

Monitor Reputation and Transparency

Ivan Marinovic , Martin Szydlowski   Sep 22,2020

We study the disclosure policy of a regulator overseeing a monitor with reputation concerns, such as a bank or... Read More