Security and Market Design

"Compression Auctions, With an Application to LIBOR-SOFR Swap Conversion," Technical Note, Graduate School of Business, Stanford University, September, 2018.

"Augmenting Markets with Mechanisms" (with Sam Antill),  Working paper, Graduate School of Business, Stanford University, May, 2018.

"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.

"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).

"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.

"Submission in Response to U.S. Treasury Notice Seeking Public Comment on the Evolution of the Treasury Market Structure," Graduate School of Business, Stanford University, April, 2016.

"Discussion of John Cochrane's, 'A New Structure for U.S. Federal Debt,' " in The $13 Trillion Dollar Question: Managing the U.S. Federal Debt, edited by David Wessel, Brookings Institution Press, 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.

"Financial Market Infrastructure: Too Important to Fail," in The U.S. Financial System – Five Years After the Crisis, edited by Martin Bailey and John Taylor, Hoover Institution and Brookings Institute, 2014.

"Central Clearing and Collateral Demand" (with Martin Scheicher and Guillaume Vuillemey), forthcoming, Journal of Financial Economics, 2014.

"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.

"Fixing the Flaw in Sovereign CDSs" (with Mohit Thukral), Risk Magazine, July, 2012.

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

"Innovations in Credit Risk Transfer: Implications for Financial Stability,'' Graduate School of Business, Stanford University, June, 2007, prepared for the Bank of International Settlements.  

"A Liquidity Based Model of Security Design" (with Peter DeMarzo), Econometrica 1999, Volume 67: 65-99. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"Financial Market Innovation and Security Design'' (with Rohit Rahi), Journal of Economic Theory 1995, Volume 65: 1-42.

"A Liquidity-Based Model of Asset-Backed Security Design'' (with Peter DeMarzo), Working Paper, Kellogg Graduate School of Management, Northwestern University, November, 1993.

"Optimal Innovation of Futures Contracts" (with Matthew O. Jackson), Review of Financial Studies 1989, Volume 2: 275-296.

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