Papers

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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

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 17,2021

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

Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Efstathios Avdis   Oct 08,2020

Long-held intuition dictates that information-based trade is impossible without exogenous noise. Risk seekers can resolve this conundrum. Even though such... Read More

Inventory Management, Dealers' Connections, and Prices in OTC Markets

Thierry Foucault,Peter Hoffmann, Jean-Edouard Colliard   Oct 08,2020

We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among... Read More

Asset Dissemination through Dealer Markets

Gabrielle Demange, Jean-Edouard Colliard   Oct 08,2020

In over-the-counter markets for assets such as bonds or securitizations, large volumes can be split into smaller pieces and gradually... Read More

Financial Restructuring and Resolution of Banks

Denis Gromb (in memoriam) , Jean-Edouard Colliard   Oct 08,2020

How do resolution frameworks affect the private restructuring of distressed banks? We model a distressed bank's shareholders and creditors negotiating... Read More