Papers

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Designing Stress Scenarios

Thomas Philippon, Cecilia Parlatore   Apr 26,2022

We develop a tractable framework to study the optimal design of stress scenarios. A principal wants to manage the unknown risk... Read More

Intermediation via Credit Chains

Jian Li. , Zhiguo He   Jun 03,2022

The modern financial system features complicated financial intermediation chains, with each layer performing a certain degree of credit/maturity transformation. We... 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