Network Factors and Macro Tail Risk
This theoretical work is currently in progress and focuses on understanding how first-order and higher-order network factors, along with the elasticity of substitution, map micro productivity shock distributions into macro tail risk.
Pre-Trade Transparency and Price Efficiency: Evidence from Corporate Bond ETFs
Using a high-frequency corporate bond benchmark prices, we develop intraday benchmark NAV for corporate bond ETF. Comparing ETF traded price to our benchmark, we derive a benchmark implied measure of mispricing.
Coauthors: Mahyar Kargar and Sebastien Plante