by Emil N. Siriwardane - Publications - Faculty & Research

08 Nov 2016
First Look

November 8, 2016

https://www.hbs.edu/faculty/Pages/item.aspx?num=51879 Structural GARCH: The Volatility-Leverage Connection By: Engle, Robert F., and Emil N. Siriwardane Abstract—During the... View Details

Keywords: Sean Silverthorne

2018
Working Paper

OTC Intermediaries

By: Andrea L. Eisfeldt, Bernard Herskovic, Sriram Rajan and Emil Siriwardane

Over-the-counter (OTC) markets for financial assets are dominated by a relatively small number of core intermediaries and a large number of peripheral customers. In this paper, we develop a model of trade in a core-periphery network and estimate its key structural... View Details

Keywords: OTC Markets; Intermediaries; Dealers; Credit Default Swaps; Risk Sharing; Networks; Price; Risk and Uncertainty

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02 Aug 2016
First Look

August 2, 2016

typically inadvertent nature of these incidences. The resulting higher settlement rate prevents additional legal action and significantly reduces social costs. Concentrated Capital Losses and the Pricing of Corporate Credit Risk—Online Appendix By: Siriwardane, View Details

Keywords: Sean Silverthorne

April 2024
Article

Fee Variation in Private Equity

By: Juliane Begenau and Emil N. Siriwardane

We study how investment fees vary within private-capital funds. Net-of-fee return clustering suggests that most funds have two tiers of fees, and we decompose differences across tiers into both management and performance-based fees. Managers of venture capital funds... View Details

Keywords: Pension Funds; Fee Dispersion; Search And Negotiation Frictions; Private Equity; Investment Funds

26 Jun 2018
First Look

New Research and Ideas, June 26, 2018

https://www.hbs.edu/faculty/Pages/item.aspx?num=54634 forthcoming Journal of Finance Limited Investment Capital and Credit Spreads By: Siriwardane, Emil N. Abstract—Using proprietary credit default swap... View Details

Keywords: Dina Gerdeman

August 2022 (Revised August 2022)
Teaching Note

Pershing Square’s Pandemic Trade

By: Emil N. Siriwardane and Luis M. Viceira

Teaching Note for HBS Case Nos. 222-007, 222-008, 222-009, and 222-010. View Details

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February 2018
Article

Structural GARCH: The Volatility-Leverage Connection

By: Robert F. Engle and Emil N. Siriwardane

During the financial crisis, financial firm leverage and volatility both rose dramatically. Consequently, institutions are being asked to reduce leverage in order to reduce risk, though the effectiveness depends upon the role of capital structure in volatility. To... View Details

Keywords: Leverage; Credit Risk; Crisis Management; Equity; Volatility; Credit; Risk Management; Financial Crisis

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March 2023
Supplement

Pershing Square's Pandemic Trade Teaching Note Courseware

By: Luis M. Viceira and Emil N. Siriwardane

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December 2018 (Revised March 2019)
Teaching Note

Tesla-SolarCity

By: Emil N. Siriwardane and E. Scott Mayfield

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Article

Scenario Generation for Long Run Interest Rate Risk Assessment

By: Robert F. Engle, Guillaume Roussellet and Emil N. Siriwardane

We propose a statistical model of the term structure of U.S. treasury yields tailored for long-term probability-based scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor... View Details

Keywords: Forecasting; Stress Testing; Interest Rates; Forecasting and Prediction; Risk Management; United States

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