- Tepper School of Business
- Carnegie Mellon University
- 5000 Forbes Avenue, Pittsburgh, PA.
- Office: 315-C, GSIA.
- e-mail: email@example.com
- Joined Tepper PhD Program 2010
- Young Research Fellow, Center for Applied Economics, Universidad de Chile, 2009-2010
- MS Economics, Universidad de Chile, 2008
- Industrial Engineer, Universidad de Chile, 2008
- Financial Networks
- Financial Intermediation
- Asset Pricing
- Market Microstructure
Work in Progress
- Inter-Firm Linkages and Asset Prices
- Basket Securities in Segmented Markets
- Imperfect Information Transmission from Banks to Investors: Real Implications with Nicolás Figueroa (Universidad Católica de Chile) and Oksana Leukhina (University of Washington)
I study the design and welfare implications of basket securities issued in markets with limited investor participation. Profit-maximizing issuers exploit investors inability to trade freely across different markets and choose which market to specialize in. I show that when the issuer is a monopoly, the equilibrium may not be constrained efficient. Increasing competition among issuers increases the variety of baskets issued, but does not always improve investors welfare. Although competition increases the variety of baskets issued, many of these baskets are redundant in the sense that coordination among issuers could improve investors risk sharing opportunities. The equilibrium basket structure depends on institutional features of a market such as depth and gains from trade.
Presented at: Universidad de Chile, LBS (2013 TADC), 2013 Northern Finance Association, 2014 Midwest Finance Association, 2014 Eastern Finance Association, 2014 European Finance Association (Doctoral Tutorial)
Markets for securitized products experienced a dramatic growth in the economic expansion before the 2008 financial crisis. Empirical evidence suggests that securitization directly contributed to lax screening standards. However, our theoretical understanding of the real implications of these markets remains limited. We develop a general equilibrium model to study the interaction of information transmission in secondary loan markets and screening effort at loan issuance. Originating banks are able to identify repaying borrowers at a cost, but they cannot credibly transmit such information to investors. Banks may choose then to employ credit ratings to convey that information in secondary loan markets. The price differential on assets with high and low ratings emerges then as the main determinant of screening effort. We find that rising collateral values and increasing asset complexity help explaining the following pre 2008 financial crisis observations: (1) decrease in screening standards, (2) intensified rating shopping, (3) rating inflation, and (4) the decline in the differential between yields on assets with low and high ratings. Surprisingly, we find regulatory policies, such as mandatory rating and mandatory rating disclosure, to be counterproductive, both exacerbating resource mis-allocation.
Presented at: Universidad de Chile*, Universidad Católica de Chile*, University of Washington*, 2013 Midwest Macro Meetings*, Federal Reserve Bank of Atlanta*, 2014 Midwest Economics Association, 2014 North American Summer Meeting of the Econometric Society* (* presented by coauthors)
- Networks in Economics and Finance Meetings at Tepper Website