Papers
Uploaded: Oct 8, 2025
A Model of Bank Hedging
This model concerns itself with how banks hedge their business risk, as composed of cash-flow risk and discount rate risk. In equilibrium, the two risks are intertwined as they are linked via the optimal hedging strategy. Ultimately, the bank stabilizes...
Uploaded: Oct 8, 2025
Should Naked Credit Default Swaps (CDS) Be Banned?
In November 2011, the European Union adopted the Short Selling Regulation, introducing a ban on naked sovereign credit default swaps (CDS), which was formally implemented in 2012. The Regulation permits only covered CDS positions for hedging purposes, a restriction that...
Uploaded: Oct 8, 2025
Should Naked Credit Swaps (CDS) Be Banned?
In November 2011, the European Union adopted the Short Selling Regulation, introducing a ban on naked sovereign credit default swaps (CDS), which was formally implemented in 2012. The Regulation permits only covered CDS positions for hedging purposes, a restriction that...
Uploaded: Oct 8, 2025
Integrating Generative Artificial Intelligence and Humans under Uncertainty
This paper develops a real options framework to analyze optimal adoption and switching strategies for human–AI collaboration. I model four distinct configurations, human-only, AI-only, hybrid, and human-in-the-loop (HITL), within a unified dynamic decision-making setting, deriving value functions and optimal thresholds...
Uploaded: Oct 8, 2025
Public Disclosure and Private Capital
This paper analyzes a model of firms' decisions to publicly disclose information and investors' incentives to provide private capital to non-disclosing firms. In this model, (i) disclosure externalities and scope for welfare-improving policy interventions arise via a financing channel; (ii)...
Published: Journal of Monetary Economics, 2021
Regulation and Security Design in Concentrated Markets
The vast majority of regulatory debates about the benefits of centralized trading assume that the set of securities designed by financial intermediaries is immune to the market structure in which trade occurs. In this paper, we consider a regulator who...
