Asset pricing with search frictions, over-the-counter markets and dealer networks, market microstructure, information frictions and insider trading.
Department of Finance HEC
University of Lausanne and Swiss Finance Institute
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We study the structure of the intermediary network in securitized products (ABS, CDO, CMBS, Non-agency CMO) and the nature of bid-ask spreads in Registered and Rule 144a instruments.
In a search model of over-the-counter markets I demonstrate that average bid-ask spreads for more efficient dealers are lower, due to lower variability of their reservation values.
We build a search-based model of network formation and propose that a core-periphery network arises from specialization. Dealers endogenously specialize in different clients with different liquidity needs.
This paper justifies low levels of adverse selection in the secondary markets for securitized ABS and MBS instruments in normal times, and provides a framework to analyze how private information production about asset-backed securities responds to changes in the economic environment.
AFA 2011 (travel grant), 2013, 2014
WFA 2011, 2012, 2013, 2014
Chicago Fed Workshop on Money, Banking, Payments and Finance, 2012, 2013, 2014
NBER Market Microstructure Meeting, 2012, 2013
Sixth Erasmus Liquidity Conference, 2013
Annual Central Bank Workshop on the Microstructure of Financial Markets, 2012, 2014
Chicago-Argonne Initiative for Computational Economics, 2010
Tepper Business School, Carnegie Mellon University, Pittsburgh, USA
University of London External Programme, London, UK (recipient of one of the two scholarships worldwide by LSE External Study office)
International College of Economics and Finance (ICEF), Higher School of Economics, Moscow, Russia
All-Russia Economic Olympiad Winner, 2003