in Journal of Financial Econometrics
March 2013; p ublished online November 2012 .
Journal Article. Subjects: Investment Banking; Economics; Money and Interest Rates. 12048 words.
This article presents a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in...
in Review of Finance
July 2016; p ublished online October 2015 .
Journal Article. Subjects: Banking; Investment Banking; Financial Regulation; Corporate Governance; Bankruptcy; Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook. 18538 words.
The Lehman bankruptcy highlights the potential for interconnectedness to cause negative externalities through counterparty contagion, but the externalities may also arise from information...
in The Review of Financial Studies
April 2014; p ublished online February 2014 .
Journal Article. Subjects: Money and Interest Rates; Monetary Policy, Central Banking, and the Supply of Money and Credit; Investment Banking. 15860 words.
The recent financial crisis has shown that short-term collateralized borrowing may be a highly unstable source of funds in times of stress. In this paper, we develop a dynamic equilibrium...