Andrey Ermolov October 8, 2014 Address: 3022 Broadway, Uris Hall 8Q, 10027, New York, NY United States of America Contact: Phone: (+1) 917-969-0060 E-mail: [email protected] Personal information Date of Birth: October 27, 1986 Citizenship: Finland and Russia (US F1-visa) Marital status: Single Research interests Asset pricing, macro finance, financial econometrics Education PhD Program in Finance and Economics, Columbia Business School, 2010-, 2014 Arora-Naldi award for the best academic potential among Columbia Finance PhD students M.Phil. in Finance and Economics, Columbia Business School, 2010-2013 B.Sc. in Finance, Helsinki School of Economics, 2006-2010, Top 5% honors B.Sc. and M.Sc. in Engineering Physics and Mathematics, Helsinki University of Technology, 2003-2007, Top 5% honors Working papers 1. Time-varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks? Abstract: I analyze the risk of nominal assets within an external habit model supplemented with a novel macroeconomic dynamics. The macro-model identifies time-varying ”demand-like” and ”supply-like” shocks directly linked to the risk of nominal assets. Apart from matching standard properties of US stock and bond returns, I study how the model reproduces the time-variation in stock and bond return correlations. I find that macroeconomic shocks generate sizeable positive and negative correlations, although negative correlations occur less frequently and are smaller than historically. The model implies higher stock and bond return correlations before 2000 than after that, replicating low correlations observed during the Great Recession. However, the model’s ability to get empirical correlations varies over time. Presentations: 2014 Columbia Business School PhD seminar, 2014 Columbia Financial Economics Colloquium 1 2. A Unified Theory of Bond and Currency Markets Abstract: I show that an external habit model augmented with a heteroskedastic consumption growth process reproduces main domestic and international bond market puzzles, considered difficult to replicate simultaneously. Domestically, the model generates an upward sloping real yield curve and realistic violations of the expectation hypothesis. Depending on the parameters, the model can also generate a downward sloping real yield curve and predicts that the expectation hypothesis violations are stronger in countries with upward sloping real yield curves. Internationally, the model explains violations of the uncovered interest rate parity. Unlike a standard habit model, the model simultaneously features intertemporal smoothing to match domestic term structure and precautionary savings to reproduce international predictability. The model also replicates the imperfect correlation between consumption and bond prices/exchange rates through positive and negative consumption shocks affecting habit differently. Mechanisms of the model are empirically supported. Presentations: 2014 LBS Transatlantic Doctoral Conference, 2014 Financial Management Association Meeting, 2014 Midwest Finance Association Meeting, 2014 Columbia Business School Faculty Free Lunch Seminar, 2013 Columbia Business School PhD seminar Award: 2014 Arora-Naldi award for the best academic potential among Columbia finance PhD students Publication Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model, with Geert Bekaert and Eric Engstrom, Journal of Econometrics, forthcoming. Abstract: We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional heteroskedasticity (GARCH) class that admits conditional nonGaussianities in a tractable fashion. Our ”bad environment-good environment” (BEGE) model utilizes two gamma-distributed shocks and generates a conditional shock distribution with timevarying heteroskedasticity, skewness, and kurtosis. The BEGE model features nontrivial news impact curves and closed-form solutions for higher-order moments. In an empirical application to stock returns, the BEGE model outperforms asymmetric GARCH and regime-switching models along several dimensions. Presentations: 2014 NBER Summer Institute - Forecasting and Empirical Methods in Macro and Finance (Cambridge, MA) (+numerous presentations by coauthors) Work in progress 1. Stochastic Skewness in Equity Returns, with Geert Bekaert and Eric Engstrom 2. Macro Risks and the Term Structure, with Geert Bekaert and Eric Engstrom Pre-PhD publications (computer science and statistical mechanics) Metabolic Regulation in Progression to Autoimmune Diabetes, 2011, PLoS Computational Biology (Impact factor in 2011: 5.215), 2nd out of 20 authors, my contribution: developed a statistical model for multidimensional analysis Gender-dependent progression of systemic metabolic states in early childhood, 2008, Molecular Systems Biology (Nature Publishing House Journal, Impact factor in 2008: 12.243), 4, pp. 197203, 3rd out of 7 authors, my contribution: statistical time series model was developed in the M.Sc. thesis Automated modeling of flexible printed circuits with Abaqus/CAE: Component and system anal- 2 ysis using numerical simulation techniques - FEA, CFD, MBS., 2005, Proceedings of NAFEMS, 1, pp. 116-125, with Alexander Ptchelintsev Conference presentations (excluding presentations by co-authors) 2014: NBER Summer Institute - Forecasting and Empirical Methods in Macro and Finance (Cambridge, MA), LBS Transatlantic Doctoral Conference (London, UK), Financial Management Association Meeting (Nashville, TN), Midwest Finance Association Meeting (Orlando, FL) Invited Workshop 2013: MIT Capital Markets Research Workshop (Cambridge, MA) Major honors and awards (all monetary) 2014: Arora-Naldi Award for the Best Academic Potential Among Columbia Finance PhD students 2010: Yrj¨ o Jahnsson Foundation Young Researcher Award 2009: Winner (1st place) Evli Investment Bank Trading Model Competition 2008: Helsinki University of Technology, Personal Research Scholarship for extending and publishing M.Sc. thesis 2001: Finnish National High School Competition in Mathematics, 3rd place nationwide (i.e., 2 persons were better than me) Employment 2010: Research Assistant, Helsinki School of Economics, behavioral finance 2006-2009: Research assistant and researcher, Helsinki University of Technology, statistical modeling 2005: Researcher, Nokia Research Center, Helsinki, Finland, numerical optimization 2004: Research assistant, Nokia Research Center, Helsinki, Finland, electrical engineering Professional service Referee: Review of Financial Studies, 2013Discussant: 2014 LBS Transatlantic Doctoral Conference (London, UK), 2014 Midwest Finance Association Meeting (Orlando, FL) Teaching experience (Columbia Business School) Fall 2014, MBA Asset Management -teaching assistant for Professor Geert Bekaert, designed and taught review sessions. Spring 2014: EMBA Asset Management - teaching assistant for Professor Geert Bekaert, designed and taught review sessions Fall 2012: PhD Microeconomic Analysis I - teaching assistant for Professor Paolo Siconolfi, designed and taught review sessions Languages English, Finnish, and Russian; basic Spanish and Swedish 3