Research


Security in the Age of Systemic Risk: Strategies, Tactics and Options for Dealing with Femtorisks and Beyond

with Frank, M. Goud Collins, M. Clegg, U. Dieckmann, V. Kremenyuk, A. Kryazhimskiy J. Linnerooth-Bayer, S. Levin, B. Ramalingam, J. Ramo, S. Roy, D. Saari, Z. Shtauber, K. Sigmund, J. Tepperman, S. Thurner, W. Yiwei, and D. von Winterfeldt

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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559.

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Privacy-Preserving Methods for Sharing Financial Risk Exposures

with Emmanuel A. Abbe and Amir E. Khandani, American Economic Review: Papers & Proceedings 102 (2012), 65-70.

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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Measuring Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon

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What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

with Amir Khandani, Journal of Financial Markets 14 (2011), 1-46.

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The National Transportation Safety Board: A Model for Systemic Risk Management

with Eric Fielding and Jian Helen Yang, Journal of Investment Management 9 (2011), 17-49.

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Complexity, Concentration and Contagion: A Comment

Journal of Monetary Economics 58 (2011), 471-479

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The Financial Industry Needs its Own Crash Safety Board

The Financial Times

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WARNING!: Physics Envy May Be Hazardous To Your Wealth

with Mark Mueller, Journal of Investment Management 8 (2010), 13-63.

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