The Decline of Too Big To Fail with D. Duffie and Y. Zhu. American Economic Review 115: 945-974, 2025. [link] [Mentions: FSB report "Evaluation of the Effects of Too-Big-To-Fail Reforms"]
Adaptive Risk Preferences: Unraveling the Impact of Monetary Policy on Output with J. Helwege. Journal of Financial Econometrics 23: nbaf009, 2025. [link]
Across-the-Curve Credit Spread Indices with D. Duffie and Y. Zhu. Financial Markets, Institutions & Instruments (2023). [link]
What Broker Charges Reveal about Subprime Mortgage Credit Risk with B. Hollifield and P. Sandas. Journal of Real Estate Finance and Economics (2020). [link]
Corporate Credit Risk Premia (internet appendix) with Rohan Douglas, Darrell Duffie and Mark Ferguson. Review of Finance 22: 419-454, 2018. (Lead article, Managing Editor's Blog, Runner up 2018 Spängler IQAM award for the best investments paper)
How Subprime Borrowers and Mortgage Brokers Shared the Pie with B. Hollifield and P. Sandas, Real Estate Economics 44: 87-154, 2016 (Best Paper Award, 2013 Auckland Finance Meeting)
A Credit Spread Puzzle for Reduced-Form Models (internet appendix), Review of Asset Pricing Studies 5:48-91, 2015
Monetary Policy, Bond Returns and Debt Dynamics (internet appendix) with Sevin Yeltekin, Journal of Monetary Economics 73: 119-136, 2015
Do Equity Markets Favor Credit Market News Over Options Market News? with A. Ostrovnaya, Quarterly Journal of Finance 4: 1450006 (51 pages), 2014
How Does the U.S. Government Finance Fiscal Shocks? with H. Lustig and S. Yeltekin, American Economic Journal: Macroeconomics 4:69-104, 2012 (Second place in 2010 Weil Prize, Carnegie Mellon University)
On Correlation and Default Clustering in Credit Markets with Peter Ritchken and Zhiqiang Sun, Review of Financial Studies 23: 2680-2729, 2010
Decomposing European CDS Returns with Iulian Obreja, Review of Finance 14: 189-233, 2010
Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit with Anurag Gupta, Journal of Monetary Economics 56: 725-743, 2009
Restructuring Risk in Credit Default Swaps: An Empirical Analysis with Robert Jarrow and ChoongOh Kang, Stochastic Processes and their Applications 117: 1724-1749, 2007
The Pitfalls of Originate-to-Distribute in Bank Lending with Anurag Gupta, Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future edited by R. Kolb, John Wiley & Sons, 2010