Peter Diep

AQR Capital Management, LLC

2 Greenwich Plaza

Greenwich, CT

United States

  • AQR Capital Management, LLC

SCHOLARLY PAPERS

2

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812

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2

Scholarly Papers (2)

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1.

The Cross Section of MBS Returns

Downloads 497 ( 72,175)
Citation 1

The Cross Section of MBS Returns

Number of pages: 60 Posted: 09 Dec 2016 Last Revised: 23 Sep 2018
Peter Diep, Andrea L. Eisfeldt and Scott A. Richardson
AQR Capital Management, LLC, UCLA Anderson School of Management and AQR Capital Management, LLC
Downloads 387 (96,248)
Citation 1

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Mortgages, Mortgage Backed Securities, Prepayment, Expected Returns

Prepayment Risk and Expected MBS Returns

NBER Working Paper No. w22851
Number of pages: 49 Posted: 21 Nov 2016 Last Revised: 10 Jun 2021
Peter Diep, Andrea L. Eisfeldt and Scott A. Richardson
AQR Capital Management, LLC, UCLA Anderson School of Management and AQR Capital Management, LLC
Downloads 110 (310,362)

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2.

Sustainable Systematic Credit

Number of pages: 59 Posted: 13 Sep 2021 Last Revised: 21 Oct 2021
Peter Diep, Lukasz Pomorski and Scott A. Richardson
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 315 (122,857)

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ESG, credit, fixed income, portfolio choice, socially responsible investing, CSR