Research

Published Research

LTCM Redux? Hedge Fund Treasury Trading, Funding Fragility, and Risk Constraints (with M. S. Kruttli, L. Petrasek, and S. W. Watugala) Journal of Financial Economics (accepted)

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks (with M. S. Kruttli and S. W. Watugala) Journal of Financial Economics 146:965-988, 2022

Information Flows and Crashes in Dynamic Social Networks (with R. Bookstaber) Journal of Economic Interaction and Coordination 16:471-495, 2021

The OFR Financial Stress Index Risks 7, no. 1, 2019 (Featured paper)

Form PF and the Systemic Risk of Hedge Funds: Risk-measurement Precision for Options Portfolios (with M. Flood) Journal of Alternative Investments 18, no. 4: 125-147, 2016

On the Optimal Wealth Process in a Log-normal Market: Applications to Risk Management (with T. Zariphopoulou) Journal of Financial Engineering 1, no. 2: 1-37, 2014 (Lead article)

On a Dynamic Adaptation of The Distribution Builder Approach to Investment Decisions Quantitative Finance 14, no. 5: 749-760, 2014 (Lead/Featured article)

Working Papers

Credit Supply and Hedge Fund Performance: Evidence from Prime Broker Surveys (with D. Li and L. Petrasek) FEDS Working Paper

Hidden Risk (with D. Barth, E. Siriwardane, and A. Sunderam) FEDS Working Paper

Reaching for Duration and Leverage in the Treasury Market (with D. Barth, R. J. Kahn, and O. Sokolinskiy) FEDS Working Paper

Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations (with M. S. Kruttli, M. Macchiavelli, and Xing (Alex) Zhou)

Leverage and Risk in Hedge Funds (with D. Barth and L. Hammond) OFR Working Paper 20-02, February 2020

Illiquidity in Intermediary Portfolios: Evidence from Large Hedge Funds (with D. Barth) OFR Working Paper 20-03, February 2020

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds (with M. S. Kruttli and S. W. Watugala) OFR Working Paper 17-07 and FEDS Working Paper, December 2017

Other Articles

Private Credit Growth and Monetary Policy Transmission (with A. Degerli) FEDS Note, August 2024

Quantifying Treasury Cash-Futures Basis Trades (with J. Glicoes, B. Iorio, and L. Petrasek) FEDS Note, March 2024

Hedge Fund Treasury Exposures, Repo, and Margining (with A. Banegas) FEDS Note, September 2023

Non-bank financial institutions and the slope of the yield curve (with S. Infante, L. Petrasek, and M. Tian) FEDS Note, October 2022

Sizing hedge funds' Treasury market activities and holdings (with A. Banegas and L. Petrasek) FEDS Note, October 2021

Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures (with M. Flood and L. Bandyopadhyay) OFR Working Paper 15-13, July 2015

Hedging Market Risk in Optimal Liquidation OFR Working Paper 14-08, November 2014