Cecilia Parlatore
Institution
NYU Stern
PhD Year
2014
Phone
212-998-0171
cparlato@stern.nyu.edu
FTG Membership
Member
Website
http://www.ceciliaparlatore.com
Featured Work
Sep 25, 2023
Designing Stress Scenarios
We study the optimal design of stress scenarios. A principal manages the unknown risk exposures of agents by asking them to report losses under hypothetical scenarios before taking remedial actions. We apply a Kalman filter to solve the learning problem and we relate the optimal design to the risk environment, the principal’s preferences, and available interventions. Applied to banking stress tests, optimal capital requirements cover losses under an adverse scenario...
Apr 30, 2021
Strategic Fragmented Markets
We study the determinants of asset market fragmentation in a model with strategic investors that disagree about the value of an asset. Investors’ choices determine the market structure. Fragmented markets are supported in equilibrium when disagreement between investors is low. In this case, investors take the same side of the market and are willing to trade in smaller markets with a higher price impact to...
