Empirical asset pricing; funding markets; money and banking; market microstructure
Assessing the role of liquidity and credit in financial crises. Studying the microstructure of interbank funding markets and fixed income debt markets.
“Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads.” Working Paper, 2009.
(with Andrew Ang and Jun Liu)
“Using Stocks or Portfolios in Tests of Factor Models.” Working Paper, 2009.
“Are Speculators Informed?” Working Paper, 2009.
PhD, Columbia University, expected spring 2010; MA, Johns Hopkins University, 1999; BA, Trinity College, 1994
Wharton: 2009-present.
Open Market Desk, Federal Reserve Bank of New York, 1999-2005; International Finance Division, Federal Reserve Board, fall 2003; Consultant, The World Bank, summer 1999
