Over-The-Counter Markets

"Funding Value Adjustments," (with Leif Andersen and Yang Song), Journal of Finance, Volume 74 (2019).

"Robust Benchmark Design" (with Piotr Dworczak), Working Paper, Graduate School of Business, Stanford University, March, 2018.

"Notes on LIBOR Conversion," Graduate School of Business, Stanford University, January, 2018.

"Dynamic Directed Random Matching" (with Lei Qiao and Yeneng Sun), Journal of Economic Theory, Vol. 143 (2018) pp. 124-183.

"Benchmarks in Search Markets" (with Piotr Dworczak and Haoxiang Zhu), Journal of Finance. Vol. 72 (2017), 1983-2084. First Prize, Amundi Smith Breeden Prizes of the American Finance Association. Appendix of additional results.

"Size Discovery" (with Haoxiang Zhu), Review of Financial Studies, Volume 30 (2017), pages 1095-1150. First Prize, AQR Insight Award, May, 2016 (with technical appendix).

"Continuous-Time Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, May, 2017. [Slides]

"Size Discovery Protocols are not on the Efficient Frontier," Risk, May 24, 2017.

"What to do about Libor?" Risk, April 24, 2017.

"The Covered Interest Parity Conundrum," Risk, March 27, 2017.

"CCPs should prep to quash Sifi swap termination stays," Risk, February 22, 2017.

"Efficient Contracting in Network Financial Markets" (with Chaojun Wang), Working paper, Graduate School of Business, Stanford University, January, 2017.

"Why the leverage ratio distorts market-making," Risk, January 3, 2017.

"Central Clearing and Collateral Demand" (with Martin Scheicher and Guillaume Vuillemey), Journal of Financial Economics, Vol. 116 (2015), pp. 237-256.

"Information Percolation in Segmented Markets" (with Semyon Malamud and Gustavo Manso), Journal of Economic Theory, Volume 157 (2015), pp. 1130-1158. Technical Appendices (published online only).

"Discussion of John Cochrane, 'A New Structure for U.S. Federal Debt,' " Graduate School of Business, Stanford University, May 2015.

"Reforming LIBOR and Other Financial-Market Benchmarks" (with Jeremy Stein),  Journal of Economic Perspectives, Volume 29 (Spring 2015), pp. 191-212.

"In Support of Transparent Financial Benchmarks" (with Piotr Dworczak and Hoaxing Zhu), VOX, February 16, 2015.

"Resolution of Failing Central Counterparties," in Making Failure Feasible: How Bankruptcy Reform Can End 'Too Big To Fail', edited by Thomas Jackson, Kenneth Scott and John E. Taylor, Hoover Institution Press, 2015.

"A Sampling-Window Approach to Transactions-Based Libor Fixing," (with David Skeie and James Vickery), Federal Reserve Bank of New York Staff Report Number 513, February 2013.

"Key Mechanics of the U.S. Tri-Party Repo Market" (with Adam Copeland, Antoine Martin, and Susan McLaughlin), Economic Policy Review of the Federal Reserve Bank of New York, October, 2012.

"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. In Bankruptcy Not Bailout: A Special Chapter 14, edited by  Kenneth E. Scott and John B. Taylor, Hoover Press, 2012.

"Capital Mobility and Asset Pricing" (with Bruno Strulovici),  Econometrica 2012, Volume 80:2469-2509.   Supplement. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press, 2012

"Does a Central Clearing Counterparty Reduce Counterparty Risk?" (with Haoxiang Zhu), Review of Asset Pricing Studies 2011, Volume 1: 74-95.

"Information Percolation" (with Gaston Giroux and Gustavo Manso), American Economics Journal: Microeconomic Theory 2010, Volume 2: 100-111.

"The Exact Law of Large Numbers for Independent Random Matching" (with Yeneng Sun), Journal of Economic Theory 2012, Volume 147: 1105-1139.

"Asset Price Dynamics with Slow-Moving Capital" (American Finance Association Presidential Address), Journal of Finance 2010, Volume 65: 1238-1268. Software prepared by Kevin Wu for plots and computation of coefficients.

"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.

"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.   

"Information Percolation with Equilibrium Search Dynamics" (with Semyon Malamud and Gustavo Manso), Econometrica 2009, Volume 77: 1513-1574. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"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.

"How Should We Regulate Derivatives Markets," Briefing Paper Number 5, The Pew Financial Reform Project, 2009.

"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.

"Competing for a Share of the Global Derivatives Market: Trends and Policy Choices for the United States" (with Henry T.C. Hu), Working Paper, Graduate School of Business, Stanford University, 2008.

Senate Testimony on Credit Derivatives, July, 2008.

"Existence of Independent Random Matching" (with Yeneng Sun), Annals of Applied Probability 2007, Volume 17: 386-419.

"Systemic Illiquidity in the Federal Funds Market" (with Adam Ashcraft), American Economic Review, Papers and Proceedings 2007, Volume 97: 221-225.

"Valuation in Over-the-Counter Markets" (with Nicolae Garleanu and Lasse Pedersen), Review of Financial Studies 2007, Volume 20: 1865-1900.  For the working paper version, click here.

"Information Percolation in Large Markets'' (with Gustavo Manso),  American Economic Review, Papers and Proceedings 2007, Volume 97: 203-209.

"Over-the-Counter Markets" (with Nicolae Garleanu and Lasse Pedersen), Econometrica 2005, Volume 73: 1815-1847. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

 "Credit Risk for OTC Derivatives Portfolios: Exposure and Valuation" (with Eduardo Canabarro), in ALM of Financial Institutions, edited by Leo Tilman, Institutional Investor Books, 2004.

"Securities Lending, Shorting, and Pricing'' (with Nicolae Garleanu and Lasse Pedersen), Journal of Financial Economics 2002, Volume 66: 307-339, Winner, 2002 New York Stock Exchange Award for The Best Paper on Equity Trading.  

BankOne Case, Regarding Market Valuation of Swaps, 2001

"Special Repo Rates," Journal of Finance 1996, Volume 51: 493-526.

"Swap Rates and Credit Quality" (with Ming Huang), Journal of Finance 1996,Volume 51: 921-950. 

"Recursive Valuation of Defaultable Securities and the Timing of the Resolution of Uncertainty" (with Mark Schroder and Costis Skiadas),  Annals of Applied Probability 1996, Volume 6: 1075-1090.

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