Working Papers

Liquidity and Leverage
With Hyun Song Shin
Federal Reserve Bank of New York Staff Reports, 328, May 2008
47 pages / 293 kb

Risk Spillovers among Financial Institutions
With Markus K. Brunnermeier
September 2007
Received an Institute for Quantitative Investment Research (INQUIRE Europe) Research Grant for 2007/2008.

Learning about Beta: Time-varying Factor Loadings, Expected Returns, and the Conditional CAPM
With Francesco Franzoni
Federal Reserve Bank of New York Staff Reports, 193, September 2004

Work in Progress

The Term Structure and the Volatility Risk Premium
With Emanuel Moench and Joshua Rosenberg


The Term Structure of Inflation Expectations
With Hao Wu


Value-at-Risk and Market Liquidity
With Jim Mahoney and Jiang Wang


Conferences

Second Liquidity Conference
December 13, 2007

First Liquidity Conference
October 6-7, 2005

Tobias Adrian's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.