Recent Work
"Market Making Under the Proposed Volcker Rule," a report to the Securities Industry and Financial Markets Association and a submission to the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the Federal Deposit Insurance Corporation, and the Securities and Exchange Commission, January, 2012, Graduate School of Business, Stanford University.
"A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements" (with David Skeel), U of Penn, Inst for Law & Econ Research Paper No. 12-02, January 2012.
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press, 2012
"After MF Global: How to Protect Customers' Cash" (with Joseph Grundfest), Financial Times, December 6, 2011.
"Policy Issues in the Design of Tri-Party Repo Markets" (with Adam Copeland, Antoine Martin, and Susan McLaughlin), Working Paper, Stanford University and Federal Reserve Bank of New York, July, 2011.
"On the Clearing of Foreign Exchange Derivatives," Graduate School of Business, Stanford University, May 2011. Comment on U.S. Treasury, "Determination of Foreign Exchange Swaps and Foreign Exchange Forwards under the Commodity Exchange Act," April, 2011.
"Reforming Money Market Funds," The Squam Lake Group, January, 2011.
"Systemic Risk Exposures: A 10-by-10-by-10 Approach," Working Paper, National Bureau of Economic Research, Systemic Risk Measurement Initiative, July, 2011.
Measuring Corporate Default Risk, Oxford University Press, 2011
(book jacket available here)
The Squam Lake Report: Fixing the Financial System, Princeton University Press, 2010
How Big Banks Fail And What To Do About It, Princeton University Press, 2010
"Does a Central Clearing Counterparty Reduce Counterparty Risk?" (with Haoxiang Zhu), Review of Asset Pricing Studies 2011, Volume 1: 74-95.
"The Exact Law of Large Numbers for Independent Random Matching" (with Yeneng Sun), July, 2011, forthcoming, Journal of Economic Theory.
"Asset Price Dynamics with Slow-Moving Capital" (American Finance Association Presidential Address), Journal of Finance 2010, Volume 65: 1238-1268.
"The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation" (with Semyon Malamud and Gustavo Manso), Journal of Economic Theory 2010, Volume 145: 1574-1601.
