The imposition of federal conservatorships on September 6, 2008, at the Federal National
Mortgage Association and the Federal Home Loan Mortgage Corporation—commonly …

We analyze the emergence of systemic risk in a network model of interconnected bank
balance sheets. The model incorporates multiple sources of systemic risk, including size of …

Fixed-rate mortgages (FRMs) dominate the US mortgage market, with important
consequences for monetary policy, household risk management, and financial stability. We …

We study how the practice of collateral rehypothecation impacts the generation of liquidity
and the emergence of systemic liquidity risk, and how both depend on the structure of the …

Market freezes are an interesting and theoretically challenging phenomenon—they are
observed empirically, but cannot occur in standard models. This paper develops a formal …

During the financial crisis of 2008, origination and trading in asset-backed securities markets
dropped dramatically. I present a model with ambiguity-averse investors to explain how such …

This thesis delves into the fundamental concepts and advanced techniques of predicting
repurchase agreement (repo) rollover transactions. This is done with transactional level data …

During the financial crisis of 2008, origination and trading in asset-backed securities markets
dropped dramatically. I present a model with ambiguity averse investors to explain how such …

The growing gap between rich and poor and the degradation of the planet are among the
systemically generated outcomes increasingly associated with contemporary capitalism …

During the financial crisis of 2008, origination and trading in asset-backed securities markets
dropped dramatically. This dissertation considers the role that ambiguity can play in such a …