Andrey Ermolov

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
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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-
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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
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