Amy Wang Huber

About Me

I am an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania.  

Large financial institutions play an outsized role in today’s financial markets.  In my research, I seek to understand how competition and regulations affect the incentives of financial intermediaries such as dealers, money market funds, and insurance companies.  My work applies a variety of empirical methods, including structural estimation, to consider the impact of financial intermediation on asset prices, monetary policy, and international finance.

I hold a Ph.D. in Finance from the Stanford Graduate School of Business, and an A.B. in Economics, magna cum laude, from Harvard College.  Prior to graduate school, I was a consultant at McKinsey & Company’s New York office, and a private equity investor for the U.A.E.’s sovereign wealth fund (ADIA).

I am a CFA charterholder and an external consultant for the Federal Reserve Bank of New York.

RESEARCH

Intermediary Elasticity and Limited Risk-Bearing Capacit

We quantify intermediaries' limited risk-taking capacity with "intermediary elasticity": price response to a marginal unit of RISK arising from accommodating trading demand shocks. We provide novel estimates of cross-currency and cross-asset elasticity.

Dollar Asset Holdings and Hedging Around the Globe

Using hand-collected data, we provide the first comprehensive estimates of foreign investors' U.S. dollar security holdings and currency hedging practices.

Market Power in Wholesale Funding: A Structural Perspective from the Triparty Repo Market

The Journal of Financial Economics (Editor’s Choice)
I quantify the degree of competition in a key wholesale funding market, finding dealer markdowns in the 25 bps range. Dealers’ market power over Triparty cash-lenders contributes to various funding spreads.

Are Intermediary Constraints Priced?

The Review of Financial Studies
We design a trading strategy to directly measure the price of a new component of the intermediary’s SDF: the risk of intermediary constraints tightening.

Intermediary Elasticity and Limited Risk-Bearing Capacit

We quantify intermediaries' limited risk-taking capacity with "intermediary elasticity": price response to a marginal unit of RISK arising from accommodating trading demand shocks. We provide novel estimates of cross-currency and cross-asset elasticity.

Dollar Asset Holdings and Hedging Around the Globe

Using hand-collected data, we provide the first comprehensive estimates of foreign investors' U.S. dollar security holdings and currency hedging practices.

Market Power in Wholesale Funding: A Structural Perspective from the Triparty Repo Market

The Journal of Financial Economics (Editor’s Choice)
I quantify the degree of competition in a key wholesale funding market, finding dealer markdowns in the 25 bps range. Dealers’ market power over Triparty cash-lenders contributes to various funding spreads.

Are Intermediary Constraints Priced?

The Review of Financial Studies
We design a trading strategy to directly measure the price of a new component of the intermediary’s SDF: the risk of intermediary constraints tightening.

Discussion

TEACHING

Valuation -- MBA -- FNCE 7070