working papers

2024

1. WP

   On Equilibrium Cyber Risk

   Carlos A. Ramírez

   Submitted, Oct 2024

   Abstract Bibtex PDF

   I develop a simple model to study how the interplay between the incentives of institutions and hackers alters cyber risk in equilibrium. The model shows that larger institutions are more likely to be targeted in economies wherein hackers’ payoffs are proportional to the size of their targets. The model also highlights how changes in cybersecurity technologies and competition among hackers can reshape the distribution of cyberattacks, leading to significant shifts in cyber risk.

   @article{equilibrium-cyber-risk,
     title = {On Equilibrium Cyber Risk},
     journal = {Submitted},
     month = oct,
     year = {2024},
     author = {Ramírez, Carlos A.},
     keywords = {equilibrium cyber risk, cybersecurity, cyberattacks, hacks},
     dimensions = {true}
   }

2. WP

   Treasury Triparty Repo Pricing

   Mark E. Paddrik ,  and  Carlos A. Ramírez

   Under revision, Feb 2024

   Abstract Bibtex

   Using a comprehensive transaction-level dataset, we show that the pricing of overnight treasury triparty repos is far from uniform across market participants and depends on a delicate interplay between three different factors: (1) the number of counterparties, (2) counterparty diversification, and (3) how actively such counterparties trade. Importantly, this interplay can be reshaped in times of stress.

   @article{treasury-repo,
     title = {Treasury Triparty Repo Pricing},
     journal = {Under revision},
     month = feb,
     year = {2024},
     author = {Paddrik, Mark E. and Ramírez, Carlos A.},
     keywords = {treasury, triparty repos, short-term funding, overnight repos},
     dimensions = {true}
   }

3. WP

   The Anatomy of Contagion and Macroprudential Policies

   Carlos A. Ramírez

   Reject and Resubmit | Management Science, Apr 2024

   Abstract Bibtex PDF

   I propose a model to highlight the relevance of basic characteristics of the structural makeup of contagion for the design of macroprudential policies. Besides characterizing optimal policies under a variety of environments, I show that failing to incorporate said characteristics can lead to inappropriate strategies for crisis prevention.

   @article{acmp,
     title = {The Anatomy of Contagion and Macroprudential Policies},
     journal = {Reject and Resubmit | Management Science},
     month = apr,
     year = {2024},
     url = {https://drive.google.com/file/d/1FmGM23g437ISTV24UKeXxYNwAg6HKJuk/view?usp=sharing},
     author = {Ramírez, Carlos A.},
     dimensions = {true}
   }

2022

1. WP

   Regulating Financial Networks: A Flying Blind Problem

   Carlos A. Ramírez

   Under revision, Mar 2022

   Abstract Bibtex PDF

   I develop a model for studying the role that uncertainty about the susceptibility of a financial network to contagion plays in the behavior of its member institutions and the design of preemptive interventions. As uncertainty affects the perception of contagion risk, it can reshape market equilibrium inefficiencies, altering the scope of welfare-improving interventions. The socially optimal level of uncertainty depends on a delicate balance between the information technologies available to policymakers and structural features of the network.

   @article{flying-blind,
     title = {Regulating Financial Networks: A Flying Blind Problem},
     journal = {Under revision},
     month = mar,
     year = {2022},
     url = {https://drive.google.com/file/d/1u-29bQ05Yuzr5VjdOoqnug10rULaXyQD/view?usp=sharing},
     author = {Ramírez, Carlos A.},
     dimensions = {true}
   }