Lasse Pedersen
Visiting Research Professor at Leonard N. Stern School of Business

Schools
- Leonard N. Stern School of Business
Links
Biography
Leonard N. Stern School of Business
Biography
Lasse H. Pedersen was the John A. Paulson Professor of Finance and Alternative Investments at New York University Leonard N. Stern School of Business until 2014.
Professor Pedersen's 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, betting against beta returns, predatory trading, value and momentum, shortselling, optimal dynamic trading, and other benefits of a realistic departure from classic frictionless finance theory.
Professor Pedersen received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford Graduate School of Business.
Research Interests
- Liquidity Crisis
- Asset Pricing with Liquidity Risk
- Systemic Risk and Capital Mobility
- Strategic Trading and Portfolio Selection
- Equilibrium with Margin Constraints and Trading Frictions
Academic Background
Ph.D., Finance, 2001
Stanford University
M.S., Mathematics-Economics, 1997
University of Copenhagen, Denmark
B.A., Mathematics-Economics, 1995
University of Copenhagen, Denmark
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