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Papers

Read the latest research from VRI faculty members

Financial Risk

  • Acharya, Viral, "Quest for Restoring Financial Stability in India", SAGE India Publishing, July 2020.
  • Acharya, Viral, Bjorn Imbierowicz, Sascha Steffen and Daniel Teichmann. “Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?” November 2015, revised November 2019, forthcoming, Journal of Financial Economics.
  • Acharya, Viral and Arvind Krishnamurthy. "Capital Flow Management with Multiple Instruments," 2019, Central Banking, Analysis, and Economic Policies Book Series, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia (ed.), Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications, Edition 1, Volume 26, Chapter 6, pages 169-203, Central Bank of Chile.
  • Acharya, Viral and Lasse Pedersen, “Economics with Market Liquidity Risk,” forthcoming, Critical Financial Review.
  • Acharya, Viral, Tim Eisert, Christian Eufinger, and Christian Hirsch, “Whatever It Takes: The Real Effects of Unconventional Monetary Policy,” Review of Financial Studies, 2019, 32(9): 3366-3411.
  • Acharya, Viral, Tim Eisert, Christian Eufinger, and Christian Hirsch, “Real Effects of the Sovereign Debt Crises in Europe: Evidence from Syndicated Loans,” Review of Financial Studies, 2018, 31(8), 2855-2896.
  • Acharya, Viral, Aaditya Iyer, and Rangarajan Sundaram. “Risk-Sharing and the Creation of Systemic Risk,” Working Paper, 2016.
  • Adler, Barry, "The Creditors’ Bargain Revisited," 166 U. Pa. L. Rev. 1853 (2018)
  • Adler, Barry and George Triantis, "Debt Priority and Options in Bankruptcy: A Policy Intervention," 91 Am. Bankr. L.J. 563 (2017)
  • Altman, Edward I., Maurizio Esentato, and Gabriele Sabato. "Assessing the credit worthiness of Italian SMEs and mini-bond issuers." Global Finance Journal 43 (2020): 100450.
  • Altman, Edward, and Małgorzata Iwanicz‐Drozdowska, Erkki K. Laitinen, and Arto Suvas, “Financial Distress Prediction in an International Context: A Review and Empirical Analysis of Altman’s Z-Score Model,” Journal of International Financial Management and Accounting, 2016.
  • Altman, Edward and Egon Kalotay, “Is the Benign Credit Cycle Over?” Economics and Business Review, No. 3, 2016.
  • Berner, Richard, “The Macroprudential Toolkit,” in Hartmann, P., H. Huang and D. Schoenmaker (eds.) (2018), The Changing Fortunes of Central Banking, Cambridge University Press, Cambridge, UK.
  • Berner, Richard and Kathryn Judge, “The Data Standardization Challenge,” in Systemic Risk in the Financial Sector: Ten Years After the Great Crash, edited by Douglas W. Arner, Emilios Avgouleas, Danny Busch and Steven L. Schwarcz (CIGI Press, 2019)
  • Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Lowering the bar on financial regulation is fraught with risk,” American Banker, June 27, 2019.
  • Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Here’s how the SEC should decide if companies should report earnings only every 6 months,” MarketWatch, March 16, 2019.
  • Carr, Peter and Liuren Wu, "Option Profit and Loss Attribution and Pricing: A New Framework", Journal of Finance, August 2020.
  • Carr, Peter and with L. Wu and Z. Zhang, “Using Machine Learning to Predict Realized Variance,” Journal Of Investment Management, Vol. 18, No. 2, (2020), pp. 1–16
  • Carr, Peter and Andrey Itkin, “Model-free backward and forward PDEs for implied volatility,” The Journal of Derivatives, forthcoming.
  • Carr, Peter and Andrey Itkin, “Geometric Local Variance Gamma Model,” The Journal of Derivatives, Winter 2019, 27 (2) 7-30.
  • Carr, Peter and Andrey Itkin, “ADOL - Markovian approximation of rough lognormal model,” Risk, Nov. 2019.
  • Dhar, Vasant, and Haoyuan Yu, “Model Variance in Machine Learning,” forthcoming, Journal of Investment Management.
  • Dhar, Vasant, Tomer Geva, Gal Oestreicher-Singer, and Arun Sundararajan, “Prediction in Economic Networks,” Information Systems Research, Volume 25, Issue 2, June 2014.
  • Dhar, Vasant, “Prediction and Data Science,” Communications of the ACM, volume 56, number 12, December 2013.
  • Engle, Robert, with Ahmet K. Karagozoglu, Asger Lunde, and Martin Klint Hansen, “News and Idiosyncratic Volatility: The Public Information Processing Hypothesis,” forthcoming in Journal of Financial Econometrics.
  • Engle, Robert, with Cavit Pakel, Neil Shephard, Kevin Sheppard, “Fitting Vast Dimensional Time-Varying Covariance Models,” Journal of Business & Economic Statistics (2020), 1-17.
  • Engle, Robert, and Tianyue Ruan. "Measuring the probability of a financial crisis." Proceedings of the National Academy of Sciences 116.37 (2019): 18341-18346.
  • Engle, Robert, “Systemic Risk 10 Years Later,” Annual Review of Financial Economics (2018), Vol. 10:125-152.
  • Engle, Robert, and Christian Brownlees, “SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement,” Review of Financial Studies (2017), Volume 30, Issue 1, Pages 48-79.
  • Halaburda, Hanna, and Neil Gandal, “Can We Predict the Winner in a Market with Network Effects? Competition in Cryptocurrency Market,” Games 2016, 7(3), 16.
  • Halaburda, Hanna, Mikołaj Jan Piskorski, and Pınar Yıldırım. "Competing by Restricting Choice: The Case of Matching Platforms," Management Science 64, no. 8 (2017): 3574-3594.
  • King, Lord Mervyn, and John Kay, Radical Uncertainty: Decision-making beyond the Numbers, W.W. Norton 2020.
  • King, Lord Mervyn, The End of Alchemy: Money, Banking and the Future of the Global Economy, W.W Norton and Company Inc., 2016.
  • Kolm, Petter and Du, Jiayi, Muyang Jin, Gordon Ritter, Yixuan Wang, and Bofei Zhang, "Deep Reinforcement Learning for Option Replication and Hedging." The Journal of Financial Data Science (2020).
  • Kolm, Petter and Gordon Ritter, “Dynamic Replication and Hedging: A Reinforcement Learning Approach,” The Journal of Financial Data Science. Winter 2019, 1 (1) 159-171.
  • Kolm, Petter and Gordon Ritter, “On the Bayesian Interpretation of Black-Litterman” European Journal of Operational Research, Volume 258, Issue 2, 16 April 2017, Pages 564-572.
  • Kolm, Petter and Gordon Ritter, “Multiperiod Portfolio Selection and Bayesian Dynamic Models” Risk, Vol. 28, Issue 3, p 50-54, March 2015.
  • Lipshitz, Clive and Ingo Walter, "Bridging the Gaps - Public Pension Funds and Infrastructure Finance,” New York; AZ-GIAS, 2019.
  • Miller, Geoffrey Parsons, “The Law of Governance, Risk Management, and Compliance” (Wolters Kluwer 3d ed., 2020; 2d., 2017; 1st ed., 2014).
  • Miller, Geoffrey Parsons, “Trust, Risk, and Moral Hazard in Financial Markets” (Il Mulino 2011).
  • Miller, Geoffrey Parsons, “The Rise of Risk Management: An Essay in Honor of Peter Nobel,” in Peter Sester, ed., Liber Amicorum Peter Nobel (2015).
  • Philippon, Thomas, Viral Acharya, Lasse Pedersen, and Matthew Richardson “Measuring Systemic Risk,” Review of Financial Studies, 2017.
  • Richardson, Matthew, "Regulating Wall Street: The Dodd-Frank Act," Economic Perspectives, Federal Reserve Bank of Chicago, 2012, 36: 85-97.
  • Schoenholtz, Kermit, Stephen Cecchetti, Michael Feroli, Peter Hooper, and Anil Kashyap, "Deflating Inflation Expectations: The Implications of Inflation's Simple Dynamics". Presented at the US Monetary Policy Forum (March 2017).
  • Stroebel, Johannes with Michael Bailey, Drew Johnston, Theresa Kuchler, Dominic Russel, and Bogdan State. “The Determinants of Social Connectedness in Europe,” Forthcoming at Social Informatics, 2020.
  • Stroebel, Johannes with Michael Bailey, Patrick Farrell, and Theresa Kuchler. “Social Connectedness in Urban Areas,” Journal of Urban Economics, 118 (103264), July 2020.
  • Subrahmanyam Marti with P. Augustin. “Informed Options Trading before Corporate Announcements,” Annual Review of Financial Economics, 2020, forthcoming.
  • Subrahmanyam Marti with with P. Augustin, M. Brenner and J. Hu. "Are Corporate Spin-offs Prone to Insider Trading?” Critical Finance Review, 2020, forthcoming.
  • Subrahmanyam, Marti with Viral Acharya, J. Huang, and Raghu Sundaram. "Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt," in M. Crouhy, Galai, D. and Wiener, Z. (eds.)  Contingent Claims Analysis in Corporate Finance, World Scientific, 2019.
  • Subrahmanyam, Marti, with Patrick Augustin and Menachem Brenner. "Informed Options Trading Prior to Takeover Announcements: Insider Trading?” Management Science, May 2019.
  • Subrahmanyam, Marti, with Patrick Augustin. “Informed Options Trading before Corporate Announcements,” Annual Review of Financial Economics, 2020, forthcoming.
  • Subrahmanyam, Marti, with Patrick Augustin and Menachem Brenner and J. Hu, "Are Corporate Spin-offs Prone to Insider Trading?” Critical Finance Review, 2020, forthcoming.
  • Walter, Ingo, “Reputational Risk in Large International Banks,” in Federal Reserve Bank of Chicago, Regulatory Issues in Large International Banks (Cambridge, MIT Press, 2017).
  • White, Lawrence J. "A “primarily property” presumption is—still—really needed for the IP/antitrust interface." Review of Industrial Organization 56, no. 4 (2020): 715-737
  • White, Lawrence J., and Howard Esaki, “Rating Mortgage-Backed Securities: How to End the Race to the Bottom,” Milken Institute Review, Third Quarter 2017.
  • White, Lawrence, Matthew Richardson and Stijn Van Nieuwerburgh, “What to Do about the GSEs?” Annual Review of Financial Economics, 2017.
  • Whitelaw, Robert, and Carpenter, Jennifer N., Fangzhou Lu, "The real value of China’s stock market." Journal of Financial Economics (2020).
  • Whitelaw, Robert, and Turan Bali, and Nusret Cakici, “Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?”, 2014, Review of Asset Pricing Studies, Vol. 4, No. 2, pp. 206-246.
  • Xu, Yuqian, Lingjiong Zhu, and Michael Pinedo, "Operational Risk Management - A Stochastic Control Framework with Preventive and Corrective Controls" forthcoming, Operations Research.
  • Zin, Stanley, David K. Backus, and Axelle Ferriere, “Risk and Ambiguity in Models of Business Cycles,” Journal of Monetary Economics, January 2015 (Carnegie Rochester Conference on Public Policy).

Cyber Risk

  • Arcelus, Almudena, Brian Ellman, and Randal S. Milch. "How Much is Data Security Worth?" Scitech Lawyer 15.3 (2019): 10-15.
  • Amoroso, Edward, Cyber Attacks: Protecting National Infrastructure. Elsevier, 2012.
  • Bakos, Yannis and Halaburda, Hanna, "Platform Competition with Multi-homing on Both Sides: Subsidize or Not?", Management Science, forthcoming
  • Berner, Richard, “How to Focus Cybersecurity Efforts on Financial Stability,” February 15, 2017, OFR Blog.
  • Germano, Judith, “Cybersecurity Risk & Responsibility in the Water Sector,” American Water Works Association, 2019.
  • Germano, Judith, “Third-Party Cyber Risk & Corporate Responsibility,” Center for Cybersecurity, 2017.
  • Germano, Judith, and Zachary Goldman. "After the Breach: Cybersecurity Liability Risk." The Center on Law and Security, New York University School of Law (2014).
  • Germano, Judith. "Cybersecurity Partnerships: A New Era of Public-Private Collaboration" NYU Center on Law and Security (2014).
  • Halaburda, Hanna, Guillaume Haeringer, Joshua S. Gans, and Neil Gandal. The Microeconomics of Cryptocurrencies. No. w27477. National Bureau of Economic Research, 2020.
  • Halaburda, Hanna and Jullien, Bruno and Yehezkel, Yaron, Dynamic Competition with Network Externalities: Why History Matters (August 2, 2016). RAND Journal of Economics, 2020
  • Memon, Nasir, with Yaqub, Waheeb, Otari Kakhidze, Morgan L. Brockman, and Sameer Patil. "Effects of Credibility Indicators on Social Media News Sharing Intent." In Proceedings of the 2020 CHI Conference on Human Factors in Computing Systems, pp. 1-14. 2020.
  • Memon, Nasir, and Hossein Siadati, “Detecting Structurally Anomalous Logins Within Enterprise Networks,” CCS '17 Proceedings of the 2017 ACM SIGSAC Conference on Computer and Communications Security, p. 1273-1284.

Geopolitical Risk

  • Barberá, Pablo, Andreu Casas, Jonathan Nagler, Patrick J. Egan, Richard Bonneau, John T. Jost, and Joshua A. Tucker. “Who Leads? Who Follows? Measuring Issue Attention and Agenda Setting by Legislators and the Mass Public Using Social Media Data,” American Political Science Review 113, no. 4 (2019): 883-901.
  • Engle, Robert, and Cristiano Zazzara, “Systemic Risk in the Financial System: Capital Shortfalls under Brexit, the US Elections and the Italian Referendum,” The Journal of Credit Risk (2018), 14(4):97-120.
  • Guess, Andrew, Jonathan Nagler, and Joshua Tucker. "Less than you think: Prevalence and predictors of fake news dissemination on Facebook." Science Advances 5, no. 1 (2019).
  • Philippon, Thomas, Pierre-Olivier Gourinchas, and Dimitri Vayanos “The Analytics of the Greek Crisis” with, NBER Macroannuals, Spring 2016.
  • Philippon, Thomas. The Great Reversal: How America Gave Up on Free Markets. Harvard University Press, 2019.
  • Revesz, Richard with Michael A. Livermore. “Reviving Rationality: Saving Cost-Benefit Analysis for the Sake of the Environment and Our Health,” (Oxford University Press, forthcoming 2020)
  • Revesz, Richard. "Poisoning America: The Trump Administration’s Regulatory Shell Game," 29 New York University Environmental Law Journal (forthcoming 2021) (conference issue)
  • Revesz, Richard. "Bostock and the End of the Climate Change Double Standard," 46 Columbia Journal of Environmental Law (forthcoming 2021)
  • Revesz, Richard. "Destabilizing Environmental Regulation: The Trump Administration’s Concerted Attack on Regulatory Analysis," 47 Ecology Law Quarterly (forthcoming 2020)
  • Revesz, Richard. "The Trump Administration’s Attacks on Regulatory Benefits," 14 Review of Environmental Economics and Policy, Summer 2020, at 1
  • Richard L. Revesz, Michael A. Livermore, The Globalization of Cost-Benefit Analysis in Environmental Policy, (Oxford University Press, 2013).
  • Subrahmanyam, Marti, Loriana Pelizzon, Davide Tomio, and Jun Uno, "Sovereign Credit Risk, Liquidity and the ECB Intervention: Deux ex Machina?", Journal of Financial Economics, October 2016.
  • Tucker, Joshua, Yannis Theocharis, Margaret E. Roberts, and Pablo Barberá. "From liberation to turmoil: social media and democracy," Journal of Democracy 28, no. 4 (2017): 46-59.
  • Whitelaw, Robert and Jennifer Carpenter, “The Development of China's Stock Market and Stakes for the Global Economy, 2017, Annual Review of Financial Economics, Vol. 9, pp. 233-257.

Climate Risk

  • Camuzeaux, Jonathan, Thomas Sterner, and Gernot Wagner. “India in the coming ‘climate G2’?” National Institute Economic Review No. 251 (5 February 2020): pp. R3-12. Doi: 10.1017/nie.2020.2
  • Engle, Robert, Stefano Giglio, Heebum Lee, Bryan Kelly and Johannes Stroebel, “Hedging Climate Change News,” Review of Financial Studies, Volume 33, Issue 3, March 2020, Pages 1184–1216.
  • Revesz, Richard L. and Jack Lienke, Struggling for Air: Power Plants and the 'War on Coal' (Oxford University Press, 2016).
  • Revesz, Richard L., and Kimberly M. Castle, "Environmental Standards, Thresholds, and the Next Battleground of Climate Change Regulations," 103 Minnesota Law Review 1349 (2019).
  • Revesz, Richard L., Jason A. Schwartz, Peter H. Howard, Kenneth Arrow, and Michael A. Livermore, Michael Oppenheimer and Thomas Sterner "The Social Cost of Carbon: A Global Imperative," 11 Review of Environmental Economics and Policy 172 (2017).
  • Stroebel, Johannes, with Robert F Engle, Stefano Giglio, Bryan Kelly, Heebum Lee. “Hedging Climate Change News,” The Review of Financial Studies, Volume 33, Issue 3, March 2020, Pages 1184–1216,
  • Stroebel, Johannes, Stefano Giglio, and Matteo Maggiori, “Very Long-Run Discount Rates,” Quarterly Journal of Economics, 130(1), February 2015.
  • Stroebel, Johannes, Stefano Giglio, Matteo Maggiori, and Andreas Weber, “Climate Change and Long-Run Discount Rates: Evidence from Real Estate” R&R at the Journal of Political Economy.
  • Wagner, Gernot, Robert Litterman, and Kent Daniel. "Declining CO2 price paths," Proceedings of the National Academy of Sciences, 2019.
  • Wagner, Gernot, and Jesse L. Reynolds, “Highly decentralized solar geoengineering.” Environmental Politics, 2019.
  • Whelan, Tensie, and Van Holt, Tracy, Matt Statler, Ulrich Atz, Mara van Loggerenberg, and James Cebulla. "The cultural consensus of sustainability‐driven innovation: Strategies for success." Business Strategy and the Environment (2020).
  • Whelan, Tensie, and Zeidan, Rodrigo, Tracy Van Holt. "Existence inductive theory building and coordination failures for less unsustainable beef production." Journal of Cleaner Production (2020): 122137.
  • Whelan, Tensie, Ulrich Atz, Tracy Van Holt, and Elyse Douglas. “The Return on Sustainability Investment (ROSI): Monetizing Financial Benefits of Sustainability Actions in Companies” Review of Business: Interdisciplinary Journal on Risk and Society, 39, no. 2, 1–31 (2019).