This paper endogenizes intervention in financial crises as the strategic negotiation between a regulator and creditors of distressed banks. Incentives for banks to contribute to a voluntary bail-in arise from their exposure to financial contagion. In equilibrium, a bail-in is possible only if...

Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability to offer personalized financial advice. We introduce a novel framework, in which a robo-advisor interacts with a...

We consider an investor whose objective is to trade off tail risk and expected growth of the investment. We measure tail risk through portfolio's expected losses conditioned on the occurrence of a systemic event: financial market loss being exactly at, or at least at, its VaR level and...

We obtain an explicit expression for the price of a vulnerable claim written on a stock whose predefault dynamics follows a Levy-driven SDE. The stock jumps to zero at default with a hazard rate intensity given by a negative power of the stock price. We recover the characteristic function of the...

Trading at decentralized exchanges (DEXs) requires traders to bid blockchain fees to determine the execution priority of their orders. We employ a structural vector-autoregressive (structural VAR) model to provide evidence that DEX trades with high fees not only reveal more private information,...

We develop a framework to quantify the vulnerability of mutual funds to fire-sale spillover losses. We account for the first-mover incentive that results from the mismatch between the liquidity offered to redeeming investors and the liquidity of assets held by the funds. In our framework, the...

We consider a dynamic multitask principal-agent model in which the agent allocates his resources on two tasks of different types: effort and accident prevention. We explicitly characterize the optimal contract as well as optimal effort and prevention actions applied by the agent. In contrast to...

We develop a model of Cournot competition between capacity-constrained firms that sell a single good to multiple regions. We provide a novel characterization for the unique equilibrium allocation of the good across regions and design an algorithm to compute it. We show that a reduction in...