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Book
Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined
April 2, 2015
Lasse H. Pedersen demystifies the secret world of active investing by exploring hedge funds' key trading strategies. This book unites research with real-world examples and interviews to reveal how hedge fund strategies work.
Book
Monitoring Leverage
September 30, 2013
While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.
Book
Taxing Systemic Risk
November 29, 2011
How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.
Book
Market Liquidity: Asset Pricing, Risk and Crises
November 1, 2012
This book demonstrates the important role of liquidity in asset pricing. The analysis shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation.
Book
How to Calculate Systemic Risk Surcharges
January 1, 2013
Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.
Book
Hedge Funds in the Aftermath of the Financial Crisis
March 1, 2009
There is little evidence to suggest that hedge funds caused the financial crisis or contributed to its severity in any significant way. However, they do have the potential to generate systemic risk. We outline four policy actions to address this.
Interview
Words From the Wise: Robert Engle on Portfolio Management
October 2, 2017
This issue of "Words from the Wise" features an interview with Robert Engle, Nobel prize winner and father of risk modeling. Engle discusses his breakthrough research on analyzing economic time series with time-varying volatility.
White Paper
Understanding Managed Futures
November 1, 2010
Many investors have shied away from managed futures, perhaps due to a lack of understanding of how and why they work. This paper shows how such a strategy can be implemented. We then discuss their performance and diversification benefits historically
Working Paper
Size Matters, If You Control Your Junk
January 22, 2015
When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.
Working Paper
Two Monetary Tools: Interest Rates and Haircuts
May 1, 2011
What happens when financial institutions, which play a key role as credit providers in the economy, become financially constrained themselves? This paper studies the ramifications during a liquidity crisis.