Emil Siriwardane

Harvard Business School - Finance Unit

Assistant Professor

Boston, MA 02163

United States

Office of Financial Research

717 14th Street, NW

Washington DC, DC 20005

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 19,308

in Total Papers Downloads

2,467

SSRN CITATIONS
Rank 20,589

SSRN RANKINGS

Top 20,589

in Total Papers Citations

6

CROSSREF CITATIONS

30

Scholarly Papers (8)

1.

Structural GARCH: The Volatility-Leverage Connection

Harvard Business School Finance Working Paper No. 16-009
Number of pages: 62 Posted: 21 Apr 2015 Last Revised: 28 Oct 2016
Robert F. Engle and Emil Siriwardane
New York University - Leonard N. Stern School of Business - Department of Economics and Harvard Business School - Finance Unit
Downloads 618 (42,145)
Citation 4

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GARCH, Leverage, Credit Risk, Systemic Risk, SRISK, Structural Models of Credit, Leverage Effect

2.

Limited Investment Capital and Credit Spreads

Harvard Business School Finance Working Paper No. 16-007, Journal of Finance, Forthcoming
Number of pages: 57 Posted: 25 Mar 2015 Last Revised: 18 Jun 2018
Emil Siriwardane
Harvard Business School - Finance Unit
Downloads 572 (46,691)
Citation 23

Abstract:

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credit default swaps, credit risk, intermediary based asset pricing, slow moving capital, limited risk bearing capacity

3.

Financial Market Risk Perceptions and the Macroeconomy

Harvard Business School Finance Working Paper No. 17-040
Number of pages: 66 Posted: 22 Nov 2016 Last Revised: 06 Sep 2019
Carolin E. Pflueger, Emil Siriwardane and Adi Sunderam
University of Chicago - Harris Public Policy, Harvard Business School - Finance Unit and Harvard Business School
Downloads 369 (79,868)

Abstract:

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risk-centric business cycles, cross-section of equities, real risk-free rate, real investment

4.

The Probability of Rare Disasters: Estimation and Implications

Harvard Business School Finance Working Paper No. 16-061
Number of pages: 82 Posted: 25 Mar 2015 Last Revised: 10 Nov 2015
Emil Siriwardane
Harvard Business School - Finance Unit
Downloads 345 (86,345)
Citation 5

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disaster risk, rare events, option pricing, pricing of disaster risk

5.

Limited Investment Capital and Credit Spreads - Online Appendix

Harvard Business School Finance Working Paper No. 16-008
Number of pages: 43 Posted: 22 Jul 2015 Last Revised: 18 Jun 2018
Emil Siriwardane
Harvard Business School - Finance Unit
Downloads 242 (126,241)
Citation 1

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6.

Scenario Generation for Long-Run Interest Rate Risk Assessment

Number of pages: 42 Posted: 14 Sep 2016 Last Revised: 04 Nov 2016
Robert F. Engle, Guillaume Roussellet and Emil Siriwardane
New York University - Leonard N. Stern School of Business - Department of Economics, McGill University - Desautels Faculty of Management and Harvard Business School - Finance Unit
Downloads 197 (153,843)
Citation 1

Abstract:

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Interest Rate Forecast, Regime Switching, Factor Model

7.

OTC Intermediaries

Office of Financial Research Research Paper No. 18-05
Number of pages: 68 Posted: 10 Sep 2018
UCLA Anderson School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management, Government of the United States of America - Office of Financial Research and Harvard Business School - Finance Unit
Downloads 113 (243,349)
Citation 3

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OTC markets, networks, intermediaries, dealers, credit default swaps, risk sharing

8.

A Measure of Risk Appetite for the Macroeconomy

NBER Working Paper No. w24529
Number of pages: 55 Posted: 23 Apr 2018
Carolin E. Pflueger, Emil Siriwardane and Aditya Sunderam
University of Chicago - Harris Public Policy, Harvard Business School - Finance Unit and Harvard University
Downloads 11 (575,859)
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