The Securities and Exchange Commission's Form PF is the implementation of Congress's post-crisis mandate for risk reporting by hedge funds to help protect investors and monitor systemic risk. We extend the methodology of Flood, Monin, and Bandyopadhyay [2015] to assess the risk measurement...

Financial institutions commonly face the risk that large trades will execute at unfavorable prices due to price impact effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order into smaller pieces and to trade these pieces...

Markets coordinate the flow of information in the economy, aggregating it through the price mechanism. We develop a dynamic model of information transmission and aggregation in financial and other social networks in which continued membership in the network is contingent on the accuracy of...

Using a stochastic representation of the optimal wealth process in the classical Merton problem, we calculate its cumulative distribution and density functions and provide bounds and monotonicity results for these quantities under general risk preferences. We also show that the optimal wealth...

The collapse of Lehman Brothers illustrated the importance of managing prime broker counterparty risks for hedge funds. Liquidity shocks to prime brokers can lead to cycles of deleveraging that produce losses at funds and potentially have harmful effects on financial market function and credit...

The collapse of Lehman Brothers illustrated the importance of managing prime broker counterparty risks for hedge funds. Liquidity shocks to prime brokers can lead to cycles of deleveraging that produce losses at funds and potentially have harmful effects on financial market function and credit...

In this note, we examine how changes in the yield curve slope affect the provision of credit and intermediation services by non-bank financial institutions (NBFIs), including broker-dealers and hedge funds. Although these NBFIs typically do not lend directly to the non-financial sector, they...