Emil Siriwardane

Emil N.
Siriwardane

Assistant Professor of Business
Administration
Finance Unit
Harvard Business School
Baker Library 261
Boston, MA 02163
617-495-5512
ude.sbh@enadrawirise
Finance Unit
Harvard Business School
Baker Library 261
Boston, MA 02163

ude.sbh@enadrawirise

Download Curriculum Vitae › Link to HBS Faculty Profile ›

› Publications

Structural GARCH: The Volatility-Leverage Connection
(with Robert Engle)
Finalist: 2014 AQR Insight Award  ›
Forthcoming, Review of Financial Studies
A model of equity volatility that disentagles asset volatility and leverage.
Paper› Online Appendix› Slides› BibTeX›
Term Structure Forecasting and Scenario Generation
(with Robert Engle and Guillaume Roussellet)
Forthcoming, Journal of Econometrics
A statistical model of the term structure of sovereign yields tailored for long-term scenario generation and forecasting. Paper› BibTeX›

› Working Papers

Concentrated Capital Losses and the Pricing of Corporate Credit Risk
2016 WFA Award for Best Paper in Asset Pricing  ›
2015 AQR Top Finance Graduate Award  ›
Under Revision: Journal of Finance
Evidence that limited investment capital impacts pricing in the CDS market. Market concentration and the types of active institutions also amplify the effect that limited capital has on pricing.
Paper› Online Appendix› Data Appendix› Slides› BibTeX›
The Probability of Rare Disasters: Estimation and Implications
Finalist: 2013 Best PhD Thesis (Olin - WUSL)
A measure of the risk-neutral probability of a macroeconomic disaster. Increases in the probability of disaster lead to economic downturns, and exposure to disaster risk is priced in the cross-section of U.S. equities.
Paper› Slides› BibTeX›
Precautionary Savings in Stocks and Bonds
(with Carolin Pflueger and Adi Sunderam)
A novel measure of precautionary savings, based on the relative valuation of low- and high- volatility stocks, explains a large fraction of real rate variation. Evidence that precautionary savings is itself driven by time-varying risk aversion.
Paper› Online Appendix› Data Appendix› BibTeX›

› Works-in-Progress

Risk Reallocation in OTC Derivatives Networks
(with Andrea Eisfeldt, Bernard Herskowitz, and Sriram Rajan)
Paper Available Upon Request