I’m a Finance Ph.D. candidate at Stanford Graduate School of Business. My research examines the impact of financial intermediaries on asset markets, including their impact on monetary policy and international finance. I pursue this line of inquiry employing both asset pricing theories and tools from industrial organization.
I received my A.B. in Economics, magna cum laude, from Harvard University, and I became a CFA charterholder in 2016. Prior to my doctoral studies, I worked as a consultant at McKinsey & Company in New York, and as a private equity investor at Abu Dhabi Investment Authority in the U.A.E.DOWNLOAD MY CV
I model and structurally estimate the equilibrium rates and volumes on the Triparty repo market to study how imperfect competition affects monetary transmission through this key financial market. Even on this sophisticated, secured, wholesale funding market, I document persistent rate differences paid by cash-borrowers (dealers). Motivated by this observation, I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that, because of cash-lenders' aversion to concentrated portfolios, dealers hold substantial market power and command 83% of the 33-bps total surplus. I show through counterfactual analyses that, between 2014 and 2017, the Federal Reserve’s Reverse Repo Facility (RRP) aided the passthrough of policy rates by constraining dealers' market power. Without the RRP, dealers' markdown would have widened, leaving a 9-bps larger wedge between the Triparty repo rate and the rate passed on from Triparty to the broader financial market.
Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy’s risk contributes substantially to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be priced consistently across various asset classes.
I do sports because steadily working toward the next milestone is how I live my life.
I remember my anxiety the first time I swam in the ocean, cycled up Mount Fig, and decided to run a marathon. I relish emerging on the other side, a better person.
I co-founded OpenDoors Foundation to lower the barrier to education for the underprivileged in South Africa.
I co-founded Veritas@Stanford to promote interfaith dialogues on the college campus.
I believe in the power of education, engagement, and exploration.
I’ve been playing the piano for 22+ years, I started dancing (ballroom, fusion, modern) in college, and I picked up Improv in grad school.
I love the way that thoughts and emotions are expressed through arts.
KM RAN IN GRAD SCHOOL
NIGHTS OF GIRL SCOUNT CAMPING