In his research, Professor Siriwardane seeks to develop a quantitative understanding of how the financial sector affects asset prices and macroeconomic stability, particularly relevant in the wake of the financial crisis of the last decade.
Emil N. Siriwardane
Finnegan Family Associate Professor of Business Administration
Finnegan Family Associate Professor of Business Administration
Emil Siriwardane is an associate professor of business administration in the Finance Unit.
Professor Siriwardane’s research studies the ways in which financial intermediaries influence capital markets, how perceptions of risk impact business cycles, and more recently, how public pensions make investment decisions.
Professor Siriwardane earned his PhD in finance from the Stern School of Business at New York University and a BSE in operations research and financial engineering from Princeton University.
Emil Siriwardane is an associate professor of business administration in the Finance Unit.
Professor Siriwardane’s research studies the ways in which financial intermediaries influence capital markets, how perceptions of risk impact business cycles, and more recently, how public pensions make investment decisions.
Professor Siriwardane earned his PhD in finance from the Stern School of Business at New York University and a BSE in operations research and financial engineering from Princeton University.
- Journal Articles
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- Eisfeldt, Andrea L., Bernard Herskovic, Sriram Rajan, and Emil Siriwardane. "OTC Intermediaries." Review of Financial Studies (forthcoming). View Details
- Pflueger, Carolin E., Emil Siriwardane, and Adi Sunderam. "Financial Market Risk Perceptions and the Macroeconomy." Quarterly Journal of Economics 135, no. 3 (August 2020). View Details
- Siriwardane, Emil N. "Limited Investment Capital and Credit Spreads." Journal of Finance 74, no. 5 (October 2019): 2303–2347. View Details
- Engle, Robert F., and Emil N. Siriwardane. "Structural GARCH: The Volatility-Leverage Connection." Review of Financial Studies 31, no. 2 (February 2018): 449–492. View Details
- Engle, Robert F., Guillaume Roussellet, and Emil N. Siriwardane. "Scenario Generation for Long Run Interest Rate Risk Assessment." Special Issue on Theoretical and Financial Econometrics: Essays in Honor of C. Gourieroux. Journal of Econometrics 201, no. 2 (December 2017): 333–347. View Details
- Working Papers
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- Siriwardane, Emil, Adi Sunderam, and Jonathan Wallen. "Segmented Arbitrage." Working Paper, November 2021. View Details
- Begenau, Juliane, and Emil Siriwardane. "How Do Private Equity Fees Vary Across Public Pensions?" Harvard Business School Working Paper, No. 20-073, January 2020. (Revised March 2022.) View Details
- Begenau, Juliane, Claudia Robles-Garcia, Emil Siriwardane, and Lulu Wang. "An Empirical Guide to Investor-Level Private Equity Data from Preqin." Working Paper, December 2020. View Details
- Siriwardane, Emil. "The Probability of Rare Disasters: Estimation and Implications." Harvard Business School Working Paper, No. 16-061, November 2015. View Details
- Cases and Teaching Materials
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- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Pershing Square's Pandemic Trade (D)." Harvard Business School Supplement 222-010, July 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Pershing Square's Pandemic Trade (C)." Harvard Business School Supplement 222-009, July 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Pershing Square's Pandemic Trade (B)." Harvard Business School Supplement 222-008, July 2021. View Details
- Siriwardane, Emil N., Luis M. Viceira, Dean Xu, and Lucas Baker. "Pershing Square's Pandemic Trade (A)." Harvard Business School Case 222-007, July 2021. (Revised December 2021.) View Details
- Siriwardane, Emil N., Emily R. McComb, and Eren Kuzucu. "Investing at Pivotal Ventures." Harvard Business School Case 221-033, October 2020. (Revised December 2020.) View Details
- Siriwardane, Emil N., Luis M. Viceira, and Dean Xu. "Mortgage Backed Securities and the Covid-19 Pandemic." Harvard Business School Case 221-010, July 2020. View Details
- Siriwardane, Emil, and Luis M. Viceira. "Blackstone Alternative Asset Management in 2018." Harvard Business School Teaching Note 219-092, January 2019. (Revised March 2020.) View Details
- Siriwardane, Emil, Luis M. Viceira, and Shawn O'Brien. "Blackstone Alternative Asset Management in 2018." Harvard Business School Case 219-063, January 2019. (Revised March 2020.) View Details
- Siriwardane, Emil N., and E. Scott Mayfield. "Tesla-SolarCity." Harvard Business School Teaching Note 219-032, December 2018. (Revised March 2019.) View Details
- Mayfield, E. Scott, and Emil N. Siriwardane. "Tesla-SolarCity." Harvard Business School Case 218-108, April 2018. (Revised March 2019.) View Details
- Siriwardane, Emil, Juliane Begenau, and Yuval Gonczarowski. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Case 218-030, September 2017. (Revised July 2021.) View Details
- Siriwardane, Emil Nuwan. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Teaching Note 219-074, December 2018. (Revised March 2020.) View Details
- Siriwardane, Emil Nuwan. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Spreadsheet Supplement 219-729, December 2018. View Details
- Siriwardane, Emil Nuwan. "Asset Allocation at the Cook County Pension Fund." Harvard Business School Spreadsheet Supplement 218-704, September 2017. (Revised September 2022.) View Details
- Research Summary
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In studying the U.S. credit default swap (CDS) market, Professor Siriwardane has discovered that the selling of CDS protection is extremely concentrated, with five sellers accounting for nearly half the market. Further, in contrast to what neoclassical theory suggests, he finds that capital losses among the largest sellers cause the price of default insurance to rise across the entire economy. In addition, he shows that the concentration of the market creates fragility—higher concentration leads to more volatility in the market.
Professor Siriwardane has co-developed a new econometric model that captures the link between equity volatility and financial leverage, driven by the desire to incorporate the record levels of both leverage and volatility that characterized the 2008 financial crisis into standard volatility models. His model identifies precautionary capital, a new measure of systemic risk that quantifies the efficacy of such preventive measures as leverage limits to avoid future financial crises.
Another defining feature of financial crises is consumption disasters, or large drops in aggregate consumption. Rather than taking the standard approach of seeking implications of such rare disasters for asset pricing in consumption data, Professor Siriwardane asks how options markets should behave if such disasters do in fact drive long-run asset prices. The results of his analysis provide empirical support for the rare consumption disasters paradigm.
- Awards & Honors
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Winner of the 2015 AQR Top Finance Graduate Award at Copenhagen Business School.Finalist for the 2013 Best Finance Ph.D. Dissertation Award in Honor of Professor Stuart I. Greenbaum from the John M. Olin School of Business at Washington University in St. Louis.
- Additional Information
- Areas of Interest