Lasse Heje Pedersen
Lasse H. Pedersen | |
|---|---|
| Born | Michael Brennan Award |
| Information at IDEAS / RePEc | |
Lasse Heje Pedersen (born October 3, 1972) is a Danish
He was the winner of the 2011 Germán Bernácer Prize, awarded annually to the best European economist under the age of 40, for his original research contributions on how the interaction between market liquidity risk and funding liquidity risk can create liquidity spirals and systemic financial crises.[2]
Education and academic career
After completing his bachelor's and master's degrees in
His research has been cited by central bankers such as Fed Chairman Ben Bernanke[3] and in the press, including The Economist,[4] The New York Times,[5]
Forbes,[6]
and
Work on market and funding liquidity risk
Lasse H. Pedersen's research shows that investors need to be compensated for incurring trading costs and the risk of rising trading costs. Therefore, securities with higher market liquidity risk have higher required return, as per the liquidity-adjusted CAPM.[8]
Further, many investors face funding constraints (e.g., leverage constraints and margin requirements), and funding liquidity problems affect security prices. Funding constraints raise the required return for securities with high margin requirements [9] or low risk.[10]
His research shows how the interaction between market and funding liquidity risk can create liquidity spirals and liquidity crises.[11] Liquidity problems affect the macro economy and imply that monetary authorities can manage leverage and margin requirements as a second monetary tool.[12]
One of the implications of his research on systemic risk is the argument in favour of regulatory authorities implementing systemic risk surcharges to generate incentives for financial institutions to limit their contributions to systemic risk. Under a regime with such surcharges, institutions would aim to lower their surcharges by reducing size, leverage, risk, and correlation with the rest of the financial sector and the economy.[13]
References
- ^ a b "Vita - Lasse H. Pedersen". Retrieved 16 May 2020.
- ^ "Lasse H. Pedersen, winner of 2011 Bernácer Prize | Bernácer Prize". Archived from the original on 2012-06-20. Retrieved 2012-05-27.
- ^ "Speech by Chairman Bernanke on some reflections on the crisis and the policy response".
- ^ "When the river runs dry". The Economist. 13 February 2010.
- ^ Hulbert, Mark (8 August 2009). "Hold or Fold, but Don't Waver". The New York Times.
- ^ "Buy Junky Currencies". Forbes.
- ^ "High risk = high return belief is questioned". Financial Times. 13 May 2012.
- ^ Viral Acharya and Lasse Heje Pedersen (2005), "Asset Pricing with Liquidity Risk," Journal of Financial Economics, 77, 375-410. http://pages.stern.nyu.edu/%7Elpederse/papers/liquidity_risk.pdf
- ^ Nicolae Garleanu and Lasse Heje Pedersen (2011), "Margin-Based Asset Pricing and Deviations from the Law of One Price," The Review of Financial Studies, 24(6), 1980-2022. http://pages.stern.nyu.edu/%7Elpederse/papers/MarginPricingLoOP.pdf
- ^ Andrea Frazzini and Lasse Heje Pedersen (2010), "Betting Against Beta". http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf
- ^ Markus Brunnermeier and Lasse H. Pedersen (2009), "Market Liquidity and Funding Liquidity," The Review of Financial Studies, 22, 2201-2238. http://pages.stern.nyu.edu/%7Elpederse/papers/Mkt_Fun_Liquidity.pdf
- ^ Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), "Two Monetary Tools: Interest Rates and Haircuts," NBER Macroeconomics Annual, 25, 143-180. http://pages.stern.nyu.edu/~lpederse/papers/TwoMonetaryTools.pdf
- ^ Acharya, Viral V.; Pedersen, Lasse H.; Philippon, Thomas; Richardson, Matthew (2012), "How to Calculate Systemic Risk Surcharges", Quantifying Systemic Risk, University of Chicago Press, pp. 175–212, retrieved 2024-03-16
External links
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