Farhang Farazmand

Farhang's photograph
Affiliation Ph.D candidate
Stern School of Business
New York University
Address 44 W 4th Street, KMC 9-197
New York, NY 10012
Phone 212-998-0718
Email ffarazma@stern.nyu.edu
Research interests Empirical Asset Pricing, Term Structure Modelling
Curriculum vitae [Download PDF]
References Marti G. Subrahmanyam (Thesis chair)
Viral V. Acharya
Rangarajan K. Sundaram

Working Papers

In Search of Tail Risk (Job Market Paper)

Abstract: This paper investigates the extent to which market tail risk is priced in the cross section of equity returns. I examine equity returns and show that unconditional asset pricing tests fail to provide evidence in favor of tail risk being priced. However, conditional asset pricing tests reveal the pricing effect of tail risk, suggesting that accounting for time-varying risk premia is important in understanding the asset pricing implications of tail risk. The results help reconcile earlier findings that factors related to market tail risk are indeed priced in the cross-section of equity returns with recent studies that have attempted a more direct measure of economy-wide catastrophe risk and have found that those measures are unimportant in explaining the cross-section of equity returns.

A Multi-factor Affine Term Structure Model of Interest Rates in a Single and Multiple Regime Setting

Abstract: We present a continuous-time multi-factor affine term structure model of interest rates. The model is studied under both the assumption of a single regime and multiple regimes. In both settings the model is estimated by providing a state-space representation and employing a modified or extended Kalman filter. We observe that in a model with only two regimes, the regimes are seen to represent periods of high and low zero coupon bond yield volatilities. However, the model is seen to suffer from misspecification in both the single and multiple regime setting.

Teaching Experience

Instructor, Debt Instruments
NYU, Stern Undergraduate College (Summer 2009)
Overall Rating: 6.5 out of 7.0. (Commendation for Teaching Excellence) :

Teaching Assistant, Credit Risk
NYU, Stern MBA, Prof. Viral V. Acharya (2009)

Teaching Assistant, Futures and Options
NYU, Stern EMBA, Prof. Marti G. Subrahmanyam and Prof. Rangarajan K. Sundaram (2008)

Teaching Assistant, Advanced Futures and Options
NYU, Stern MBA, Prof. Marti G. Subrahmanyam and Prof. Rangarajan K. Sundaram (2008)

Teaching Assistant, Hedge Fund Strategies
NYU, Stern MBA, Prof. Lasse Pedersen (2007)

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Farhang Farazmand