Nationality Danish Name Lasse Pedersen | ||
 | ||
Alma mater Stanford University Graduate School of BusinessUniversity of Copenhagen Notable awards German Bernacer Prize, Fama-DFA Prize, The Review of Financial Studies Doctoral advisor | ||
Lasse heje pedersen modtager af eliteforskprisen 2015
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. Before, he hold the position of a Professor for Finance and Alternative Investments at the New York University Stern School of Business. 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.
Contents
- Lasse heje pedersen modtager af eliteforskprisen 2015
- The Future of Finance Lasse Heje Pedersen
- Education and academic career
- Market and Funding Liquidity Risk
- References
He was the winner of the 2011 Bernacer Prize 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.
The Future of Finance - Lasse Heje Pedersen
Education and academic career
After completing his bachelor's and master's degrees in mathematics and economics at the University of Copenhagen in 1997, he went to Stanford University where he earned a Ph.D. in finance in 2001. Upon graduation he started as assistant professor at the New York University Stern School of Business where he got tenure in 2005 and now holds a position as chaired professor. His research has been cited by central bankers such as Fed Chairman Bernanke and in the press, including The Economist, New York Times, Forbes, and Financial Times.
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.