Geometry of the SDF: The Factor Zoo as Structured Ambiguity
Projected admissible pricing kernels onto a statistical manifold of probability distributions. Traversal across the manifold is shown to be isomorphic to a rational investor who is concerned with the model mispecification portfolio choice problem.
Selling Distress: The Economics of Failed Bank Resolutions
Built a novel dataset of FDIC bank resolution terms from over 40 years of press releases. Used it to build a structural model of failed bank auctions covering both sides of the balance sheet.
Depositing Trust: Deposit Market Distortions and Too-Big-To-Fail
Built a continuous default probability measure for the full universe of U.S. commercial banks using a weighted ensemble machine learning model. Then used difference-in-differences to identify a shift in bank behavior after the 2008 financial crisis.
Python package designed for researchers and data analysts in economics and finance. It provides tools for managing, processing, and querying large datasets using an SQLite database, along with data manipulation utilities compatible with data frames.