Banking, Risk Management, and Regulation
"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.
"Systemic Risk Exposures: A 10-by-10-by-10 Approach," Working Paper, National Bureau of Economic Research, Systemic Risk Measurement Initiative, July, 2011. Forthcoming in Systemic Risk and Macro Modeling, Markus K. Brunnermeier and Arvind Krishnamurthy, editors, University of Chicago Press.
"Does a Central Clearing Counterparty Reduce Counterparty Risk?" (with Haoxiang Zhu), Review of Asset Pricing Studies 2011, Volume 1: 74-95.
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
"The Failure Mechanics of Dealer Banks," Journal of Economic Perspectives 2010, Volume 24: 51-72.
"Policy Perspectives on OTC Derivatives Market Infrastructure" (with Ada Li and Theo Lubke), Staff Report Number 424, Federal Reserve Bank of New York, January, 2010.
"Policy Issues Facing the Market for Credit Derivatives" in The Road Ahead for the Fed, edited by John D. Ciorciari and John B. Taylor, Hoover Institution Press, 2009.
"Contractual Methods for Out-of-Court Restructuring of Systemically Important Financial Institutions," Submission requested by the U.S. Treasury Working Group on Bank Capital, PRELIMINARY DRAFT: November 9, 2009, Stanford University.
"How Should We Regulate Derivatives Markets," Briefing Paper Number 5, The Pew Financial Reform Project, 2009.
Senate Testimony on Credit Derivatives, July, 2008.
"Innovations in Credit Risk Transfer: Implications for Financial Stability,'' Graduate School of Business, Stanford University, June, 2007, prepared for the Bank of International Settlements.
"Liquidation Risk'' (with Alexandre Ziegler), Financial Analysts Journal May-June 2003: pp 42-51.
"Analytical Value at Risk with Jumps and Credit Risk" with Jun Pan, Finance and Stochastics 2001, Volume 5: 155-180. The original publication is available at www.springerlink.com.