Lasse Heje Pedersen (born October 3, 1972) is a Danish

financial economist Financial economics, also known as finance, is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade". William F. Sharpe"Financia ...

known for his research on

liquidity risk Liquidity risk is a financial risk that for a certain period of time a given financial asset, security or commodity cannot be traded quickly enough in the market without impacting the market price. Types Market liquidity – An asset cannot be so ...

and

asset pricing In financial economics, asset pricing refers to a formal treatment and development of two main Price, pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, but cor ...

. He is Professor of Finance at the

Copenhagen Business School Copenhagen Business School (Danish'': Handelshøjskolen i København'') often abbreviated and referred to as CBS (also in Danish), is a public university situated in Copenhagen, Denmark and is considered one of the most prestigious business schoo ...

. Before that, he held the position of a Professor of Finance and Alternative Investments at the

New York University Stern School of Business The New York University Leonard N. Stern School of Business (commonly referred to as NYU Stern, The Stern School of Business, or simply Stern) is the business school of New York University, a private research university based in New York City. I ...

. He has also served in the monetary policy panel and liquidity working group at the

Federal Reserve Bank of New York The Federal Reserve Bank of New York is one of the 12 Federal Reserve Banks of the United States. It is responsible for the Second District of the Federal Reserve System, which encompasses the State of New York, the 12 northern counties of New ...

and is a principal at AQR Capital Management. He was the winner of the 2011

Germán Bernácer Prize The Bernacer Prize is awarded annually to European young economists who have made outstanding contributions in the fields of macroeconomics and finance. The prize is named after Germán Bernácer, an early Spanish macroeconomist. The prize was ...

, awarded annually 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.

Education and academic career

After completing his bachelor's and master's degrees in

mathematics Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...

and

economics Economics () is the social science that studies the Production (economics), production, distribution (economics), distribution, and Consumption (economics), consumption of goods and services. Economics focuses on the behaviour and intera ...

at the

University of Copenhagen The University of Copenhagen ( da, Københavns Universitet, KU) is a prestigious public university, public research university in Copenhagen, Copenhagen, Denmark. Founded in 1479, the University of Copenhagen is the second-oldest university in ...

in 1997, he went to

Stanford University Graduate School of Business The Stanford Graduate School of Business (also known as Stanford GSB) is the graduate business school of Stanford University, a private research university in Stanford, California. For several years it has been the most selective business sc ...

where he earned a Ph.D. in Finance in 2001, advised by

Darrell Duffie James Darrell Duffie (born May 23, 1954) is a Canadian financial economist and is Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business. He is the author of numerous research articles, and several books, includi ...

and Kenneth Singleton. Upon graduation he started as assistant professor at the

where he got tenure in 2005 and held the position of John A. Paulson Professor of Finance and Alternative Investments from 2009 to 2014. He is currently Distinguished Visiting Research Professor at NYU and, since 2011, Professor of Finance at

. His research has been cited by central bankers such as Fed Chairman

Ben Bernanke Ben Shalom Bernanke ( ; born December 13, 1953) is an American economist who served as the 14th chairman of the Federal Reserve from 2006 to 2014. After leaving the Fed, he was appointed a distinguished fellow at the Brookings Institution. Durin ...

and in the press, including ''

The Economist ''The Economist'' is a British weekly newspaper printed in demitab format and published digitally. It focuses on current affairs, international business, politics, technology, and culture. Based in London, the newspaper is owned by The Econo ...

'', ''

The New York Times ''The New York Times'' (''the Times'', ''NYT'', or the Gray Lady) is a daily newspaper based in New York City with a worldwide readership reported in 2020 to comprise a declining 840,000 paid print subscribers, and a growing 6 million paid ...

'', ''

Forbes ''Forbes'' () is an American business magazine owned by Integrated Whale Media Investments and the Forbes family. Published eight times a year, it features articles on finance, industry, investing, and marketing topics. ''Forbes'' also re ...

, and ''

The Financial Times The ''Financial Times'' (''FT'') is a British daily newspaper printed in broadsheet and published digitally that focuses on business and economic current affairs. Based in London, England, the paper is owned by a Japanese holding company, Nikk ...

''.

Work on 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.Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), "Two Monetary Tools: Interest Rates and Haircuts," NBER Macroeconomics Annual, 25, 143-180. http://pages.stern.nyu.edu/~lpederse/papers/TwoMonetaryTools.pdf

References

External links

Homepage at NYU SternPrivate homepage
{{DEFAULTSORT:Pedersen, Lasse Heje 1972 births Danish economists Living people Academic staff of Copenhagen Business School New York University faculty University of Copenhagen alumni Stanford University alumni