Simon Business School
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Faculty Profile

Dmitry Orlov
Assistant Professor
Phone: 585.275.3211
Office: 3-145 Carol Simon Hall

Bio

Dmitry Orlov has research interests in several areas of finance and economics including banking, employee performance evaluations, and markets for repurchase agreements.

Teaching Interests

Corporate Finance Theory, Investments.

Research Interests

Bayesian persuasion, dynamic contracts, mutual funds, stochastic games.

Professional History

Assistant Professor
University of Rochester, Simon Business School
July 2014 -

Education

Stanford Graduate School of Business - 2014
Ph D
Financial Economics
Moscow Institute of Physics and Technology - 2009
MS
Data Analysis
Department of Mechanics and Mathematics, Moscow State University - 2009
University Diploma
Mathematics

Publications

2013
Sizing Up Repo
Contribution Type: Journal Article, Professional Journal
Journal/Publisher/Proceedings Publisher: Journal of Finance
2011
On Two Approaches to Coherent Risk Contribution
Contribution Type: Journal Article, Public or Trade Journal
Journal/Publisher/Proceedings Publisher: Mathematical Finance
Volume: 21
Issue: 3
2009
On Two Estimates of a Risk Measure
Contribution Type: Journal Article, Public or Trade Journal
Journal/Publisher/Proceedings Publisher: Theory of Probability and Its Applications
Volume: 53
Issue: 1

Current Research Programs

Contractual hierarchies in mutual funds
Effect of hidden contracts in advisor contract with the manager. How is manager's perceived ability by outside investors influence the incentives provided to him by the fund advisor.
Macro-Prudential Stress Tests
We study optimal design of disclosure of aggregate information about the state of the financial system. In order to implement a safe system, a stress test is a combination of capital requirements and information disclosure. Optimal information policy is partial pooling.
Optimal Design of Internal Disclosure
This paper studies optimal design of performance evaluations, internal com- munication, and incentive pay in the presence of dynamic agency frictions. The agent exerts private effort, but the principal is more informed about the verifiable measure of this effort. The principal jointly designs both com- pensation scheme and information flow to the agent. Information sharing improves productivity (for example, allowing a better allocation of resources or effort), but endogenously increases the ex-ante cost of providing incentives over multiple periods. The optimal resolution to such agency conflict features inefficient communication satisfying two properties. First, messages related to good performance are shared more frequently than messages related to bad performance. Second, bad performance leads to less information sharing in subsequent periods. The model rationalizes existing biases and provides new insights into the design of performance evaluations.
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