Publications de Semyon Malamud

Optimal reinsurance with multiple tranches

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd's, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation ...

Elsevier Science Sa2016

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Semyon Malamud, Darrell Duffie

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including ini ...

Elsevier2015

Credit market frictions and capital structure dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2015

Capital supply uncertainty, cash holdings, and investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a dynamic model of investment, financing, and cash management decisions in which investment is lumpy and firms face capital supply uncertainty. We characterize optimal policies explicitly, demonstrate that smooth-pasting conditions may not guara ...

2015

Information percolation in segmented markets

Semyon Malamud, Darrell Duffie

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including ini ...

Elsevier2014

Capital Supply Uncertainty, Cash Holdings, and Investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Optimal incentives and securitization of defaultable assets

Semyon Malamud

We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermedi ...

Elsevier2013

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Credit Market Frictions and Capital Structure Dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2012

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Semyon Malamud, Julien Hugonnier

We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state ...

Econometric Society2012

Semyon Malamud

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Optimal reinsurance with multiple tranches

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Credit market frictions and capital structure dynamics

Capital supply uncertainty, cash holdings, and investment

Information percolation in segmented markets

Capital Supply Uncertainty, Cash Holdings, and Investment

Optimal incentives and securitization of defaultable assets

Financial Markets Equilibrium with Heterogeneous Agents

Credit Market Frictions and Capital Structure Dynamics

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Optimal reinsurance with multiple tranches

Capital supply uncertainty, cash holdings, and investment

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Information percolation in segmented markets

Credit market frictions and capital structure dynamics

Capital Supply Uncertainty, Cash Holdings, and Investment

Financial Markets Equilibrium with Heterogeneous Agents

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Optimal incentives and securitization of defaultable assets

Credit Market Frictions and Capital Structure Dynamics