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Dive into the research topics where Jakub W. Jurek is active.

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Featured researches published by Jakub W. Jurek.


Journal of Economic Perspectives | 2009

The Economics of Structured Finance

Joshua D. Coval; Jakub W. Jurek; Erik Stafford

T he essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and the subsequent issuance of a prioritized capital structure of claims, known as tranches, against these collateral pools. As a result of the prioritization scheme used in structuring claims, many of the manufactured tranches are far safer than the average asset in the underlying pool. This ability of structured finance to repackage risks and to create “safe” assets from otherwise risky collateral led to a dramatic expansion in the issuance of structured securities, most of which were viewed by investors to be virtually risk-free and certified as such by the rating agencies. At the core of the recent financial market crisis has been the discovery that these securities are actually far riskier than originally advertised. We examine how the process of securitization allowed trillions of dollars of risky assets to be transformed into securities that were widely considered to be safe, and argue that two key features of the structured finance machinery fueled its spectacular growth. First, we show that most securities could only have received high credit ratings if the rating agencies were extraordinarily confident about their ability to estimate the underlying securities’ default risks, and how likely defaults were to be correlated. Using the prototypical structured finance security—the collateralized debt obligation (CDO)—as an example, we illustrate that issuing a capital structure amplifies errors in evaluating the risk of the underlying securities.


The American Economic Review | 2009

Economic Catastrophe Bonds

Joshua D. Coval; Jakub W. Jurek; Erik Stafford

The central insight of asset pricing is that a securitys value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds—bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles. (JEL G11, G12)


Archive | 2014

Option-Implied Currency Risk Premia

Jakub W. Jurek; Zhikai Xu

We obtain ex ante estimates of risk premia for G10 currency pairs using cross-sectional data on exchange rate options. Option prices are well-matched by a non-Gaussian, two-factor model, consistent with evidence from realized currency returns. We find that option-implied currency risk premia provide an unbiased forecast of monthly currency excess returns, and achieve cross-sectional forecasting R^2s of up to 44%. Despite prominent non-normalities in option data, less than 20% of the model HML-FX risk premium, or roughly 70bps per annum, is due to the asymmetries and higher-moments of global risks.


Journal of Financial Economics | 2014

Crash-Neutral Currency Carry Trades

Jakub W. Jurek


Journal of Finance | 2008

The Price of Immediacy

George Chacko; Jakub W. Jurek; Erik Stafford


Archive | 2007

Dynamic Portfolio Selection in Arbitrage

Jakub W. Jurek; Halla Yang


Journal of Finance | 2013

Uncertainty, Time-Varying Fear, and Asset Prices: Uncertainty, Time-Varying Fear, and Asset Prices

Amir Yaron; Rob Stambaugh; Stavros Panageas. I also thank Andy Abel; Ravi Bansal; Joao F. Gomes; Lars Hansen; Philipp Karl Illeditsch; Jakub W. Jurek; Richard Kihlstrom; Feifei Li; Jun Liu; Nick Roussanov; Freda Song; Nick Souleles; Luke Taylor; Jessica A. Wachter; Paul Zurek; Columbia Gsb; contacts at Citigroup; Cam Harvey


Archive | 2009

The Pricing of Investment Grade Credit Risk during the Financial Crisis

Joshua D. Coval; Jakub W. Jurek


National Bureau of Economic Research | 2013

The Cost of Capital for Alternative Investments

Jakub W. Jurek; Erik Stafford


National Bureau of Economic Research | 2011

Crashes and Collateralized Lending

Jakub W. Jurek; Erik Stafford

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Joshua D. Coval

National Bureau of Economic Research

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Amir Yaron

National Bureau of Economic Research

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Jessica A. Wachter

National Bureau of Economic Research

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Joao F. Gomes

University of Pennsylvania

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Luis M. Viceira

National Bureau of Economic Research

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