CARLOS RAMIREZ | Finance PhD Candidate

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Contact Information

    Tepper School of Business
    Carnegie Mellon University
    5000 Forbes Avenue, Pittsburgh, PA.
    Office: 315-C, GSIA.


    • 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

Research Interests

    • Networks in Financial Economics
    • Financial Intermediation
    • Asset Pricing

Work in Progress

    • Interfirm Relationships and Asset Prices
    • (Job Market Paper)
      I study asset pricing in large economies where persistent interfirm relationships generate interdependencies among firms' cash-flows. I derive closed form expressions for the market return, the risk-free rate, the price of risk, firms' stock prices and firms' quantity of risk in large economies in which the number of relationships of the best connected firm is small relative to the size of the economy. In such economies, the consumption growth rate is log-normally distributed and its first two moments are determined by the connectivity of the network that represents the economy. In this context, network connectivity refers to the extent to which one firm is connected to others. Changes in network connectivity are then sources of systematic risk. In the calibrated model: well connected firms command higher risk premium than less connected firms; firm-level return volatilities follow a factor structure; and firms' stock prices covary excessively, making profitable to follow trading strategies based on momentum.
      Presented at: Carnegie Mellon, LBS (2015 TADC), INFORMS 2015 (Networks and Contagion Risk Session).

Working Papers

    • Basket Securities in Segmented Markets
    • 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)

    • Imperfect Information Transmission from Banks to Investors: Real Implications
    • with Nicolás Figueroa (Universidad Católica de Chile) and Oksana Leukhina (University of Washington)
      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)

Updated: October, 2014