Lasse Heje Pedersen (born October 3, 1972) is a Danish financial economist known for his research on liquidity risk and asset pricing. He is Professor of Finance at the

Copenhagen Business School Copenhagen Business School (Danish'': Handelshøjskolen i København'') often abbreviated and referred to as CBS (also in Danish), is a public university situated in Copenhagen, Denmark and is considered one of the most prestigious business schoo ...

. Before that, he held the position of a Professor of Finance and Alternative Investments at the

New York University Stern School of Business The New York University Leonard N. Stern School of Business (commonly referred to as NYU Stern, The Stern School of Business, or simply Stern) is the business school of New York University, a private research university based in New York City. I ...

. He has also served in the monetary policy panel and liquidity working group at the Federal Reserve Bank of New York and is a principal at AQR Capital Management. He was the winner of the 2011 Germán Bernácer Prize, awarded annually to the best European economist under the age of 40, for his original research contributions on how the interaction between market liquidity risk and funding liquidity risk can create liquidity spirals and systemic financial crises.

Education and academic career

After completing his bachelor's and master's degrees in mathematics and

economics Economics () is the social science that studies the production, distribution, and consumption of goods and services. Economics focuses on the behaviour and interactions of economic agents and how economies work. Microeconomics analyzes ...

at the

University of Copenhagen The University of Copenhagen ( da, Københavns Universitet, KU) is a prestigious public research university in Copenhagen, Denmark. Founded in 1479, the University of Copenhagen is the second-oldest university in Scandinavia after Uppsala Unive ...

in 1997, he went to Stanford University Graduate School of Business where he earned a Ph.D. in Finance in 2001, advised by Darrell Duffie and Kenneth Singleton. Upon graduation he started as assistant professor at the

where he got tenure in 2005 and held the position of John A. Paulson Professor of Finance and Alternative Investments from 2009 to 2014. He is currently Distinguished Visiting Research Professor at NYU and, since 2011, Professor of Finance at

. His research has been cited by central bankers such as Fed Chairman Ben Bernanke and in the press, including ''

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'', ''

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'', ''

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, and ''

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''.

Work on market and funding liquidity risk

Lasse H. Pedersen's research shows that investors need to be compensated for incurring trading costs and the risk of rising trading costs. Therefore, securities with higher market liquidity risk have higher required return, as per the liquidity-adjusted CAPM. Further, many investors face funding constraints (e.g., leverage constraints and margin requirements), and funding liquidity problems affect security prices. Funding constraints raise the required return for securities with high margin requirements or low risk. His research shows how the interaction between market and funding liquidity risk can create liquidity spirals and liquidity crises. Liquidity problems affect the macro economy and imply that monetary authorities can manage leverage and margin requirements as a second monetary tool.Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), "Two Monetary Tools: Interest Rates and Haircuts," NBER Macroeconomics Annual, 25, 143-180. http://pages.stern.nyu.edu/~lpederse/papers/TwoMonetaryTools.pdf

References

External links

Homepage at NYU SternPrivate homepage
{{DEFAULTSORT:Pedersen, Lasse Heje 1972 births Danish economists Living people Academic staff of Copenhagen Business School New York University faculty University of Copenhagen alumni Stanford University alumni