Emil Siriwardane

Emil N.

Assistant Professor of Business
Finance Unit
Harvard Business School
Baker Library 261
Boston, MA 02163
Finance Unit
Harvard Business School
Baker Library 261
Boston, MA 02163


Download Curriculum Vitae › Link to HBS Faculty Profile ›

› Publications

Structural GARCH: The Volatility-Leverage Connection
(with Robert Engle)
Review of Financial Studies, February 2018
Finalist: 2014 AQR Insight Award  ›
A model of equity volatility that disentagles asset volatility and leverage.
Final Manuscript› Working Paper Version› Online Appendix› Slides› BibTeX›
Scenario Generation for Long Run Interest Rate Risk Assessment
(with Robert Engle and Guillaume Roussellet)
Journal of Econometrics, December 2017
A statistical model of the term structure of sovereign yields tailored for long-term scenario generation and forecasting. Final Manuscript › Working Paper Version› Real-time Interest Rate Forecasts› BibTeX›
Limited Investment Capital and Credit Spreads
Forthcoming, Journal of Finance
Previously Titled: 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  ›
Negative capital shocks at CDS protection sellers lead to an increase in credit spreads. The effect is amplified by internal capital markets frictions at the financial institutions that sell protection. Institution type (e.g. hedge funds) also matters.
Paper› Online Appendix› BibTeX›

› Working Papers

Financial Market Risk Perceptions and the Macroeconomy
(with Carolin Pflueger and Adi Sunderam)
Revise & Resubmit at the Quarterly Journal of Economics
Finalist: 2018 AQR Insight Award  ›
A new measure of risk perceptions based on the valuation of volatile stocks. When perceived risk is high, real rates are low, risky asset prices are high, and real investment is forecast to decline. Risk perceptions do not appear fully rational.
Paper› Online Appendix› Data› BibTeX›
OTC Intermediaries
(with Andrea Eisfeldt, Bernard Herskovic, and Sriram Rajan)
We build a model of OTC markets featuring a core-periphery network of dealers and customers, then calibrate it using proprietary CDS data. We then test how the CDS market would respond to the failure of a central dealer.
Paper› 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›

› Works-in-Progress

Assessing Public Pension Fund Investments into Alternatives
(with Juliane Begenau)