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Itamar Drechsler

Itamar Drechsler

Joined Stern 2009

Leonard N. Stern School of Business
Kaufman Management Center
44 West Fourth Street,
New York, NY 10012

Personal website


Itamar Drechsler joined New York University Stern School of Business as an Assistant Professor of Finance in July 2009.

Professor Drechsler's primary research interests include asset pricing, macro finance and derivatives markets. He is interested in how investor learning and uncertainty affect financial markets and how perceptions of macroeconomic and financial risks are reflected in derivatives prices.

Prior to earning his Ph.D., he worked in the fixed income group at Susquehanna International Group.

Professor Drechsler received his B.S. in Economics, his B.S.E. in Computer Science and his M.A. in Mathematics from the University of Pennsylvania and his Ph.D. in Finance from the Wharton School of the University of Pennsylvania.

Research Interests

  • Asset pricing
  • Macrofinance
  • Financial Intermediation
  • Derivatives

Academic Background

B.S., Economics
University of Pennsylvania

B.S.E., Computer Science
University of Pennsylvania

M.A., Mathematics
University of Pennsylvania

Ph.D., Finance
Wharton School of the University of Pennsylvania

Awards & Appointments

Amundi Smith Breeden Prize Best Capital Markets Paper 2013
Utah Winter Finance Conference Best paper award 2009

Selected Publications

Itamar Drechsler (2013)
Uncertainty, Time-Varying Fear, and Asset Prices
Winner of the 2013 Amundi Smith Breeden Prize (Distinguished Paper)

Itamar Drechsler and Amir Yaron (2011)
What's Vol Got To Do With It
Winner of Best Paper Award at 2009 Utah Winter Finance Conference

Itamar Drechsler, Viral Acharya and Philipp Schnabl (2011)
A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
Glucksman Institute Research Prize for best paper in finance at NYU Stern, 2011-2012

Itamar Drechsler
Risk Choice Under High-Water Marks
Review of Financial Studies, forthcoming