Lasse Heje Pedersen, Ph.D. John A. Paulson Professor of Finance and Alternative Investments Research Associate, National Bureau of Economic Research (NBER) Research Affiliate, Centre for Economic Policy Research (CEPR) Associate Editor, Journal of Finance Associate Editor, Journal of Economic Theory

PROFILE:

Lasse H. Pedersen is the John A. Paulson Professor of Finance and Alternative Investments at the NYU Stern School of Business, a research associate at CEPR and NBER, and associate editor at The Journal of Finance and Journal of Economic Theory. Professor Pedersen received his Ph.D. from the Stanford Graduate School of Business, and his B.S. and M.S. in Mathematics-Economics from University of Copenhagen. His research focuses on liquidity risk. It shows that a security’s required return is increased by market liquidity risk (as captured by the liquidity-adjusted capital asset pricing model) and funding liquidity risk (as captured by the margin CAPM), and how the interaction of market and funding liquidity can create liquidity spirals and systemic financial crisis. Indeed, when everyone runs for the exit, prices drop-and-rebound, margins increase, and risk management tighten. These liquidity risk models can help explain equity returns, option prices, bond yields, currency crashes, valuation in OTC search markets, the CDS-bond basis and other failures of the Law of One Price, the effect of unconventional monetary policy such as central banks’ lending facilities, predatory trading, value and momentum, shortselling, optimal dynamic trading, and other benefits of a realistic departure from classic frictionless finance theory. 

NEWS:

Nov-4-09	Theory of liquidity spirals mentioned in Wall Street Journal online
Sep-29-09	Saving free markets from market failure: institutions and liquidity are crucial in Forbes Chinese version, Sina: 佩德森：避免自由市场失灵
Sep-18-09	Thanks to David Levine for mention in The Huffington Post
Aug-08-09	New York Times writes about my paper on the crisis, the quant event, and what happens When Everyone Runs for the Exit
Apr-14-09	NASDAQ stock market closing bell on Times Square
Jan-30-09	A proposal to prevent wholesale financial failure in Financial Times with Nouriel Roubini
Dec-29-08	New York Times writes about my research on liquidity risk
Oct-20-08	Talks at IMF and Federal Reserve Board on the liquidity crisis - slides here
Oct-15-08	Blog entry on the current crisis at Stern on Finance and VoxEU
Oct-13-08	Appointed to the NASDAQ OMX Economic Advisory Board
Oct-9-08	Quoted in the American Banker (comment on equity participation turned out true the next day)
Sep-13-08	New York Times writes about my new paper on Value and Momentum Everywhere
Apr-08	IMF's Global Financial Stability Report uses my papers on risk management and funding liquidity
Aug-30-07	The Economist writes about my paper on Market Liquidity and Funding Liquidity
Misc.	Media mention in Germany, Norway, and my home country Denmark including various TV

ADDRESS:

Stern School of Business
New York University
44 West Fourth St., Suite 9-190
New York, NY 10012-1126

Email: lpederse@stern.nyu.edu
Web: http://pages.stern.nyu.edu/~lpederse/
Office KMC 9-74, phone 212 998 0359