University of Calgary

Alexander David

  • Professor
  • Faculty - Finance

Research Interests




Dr. Alexander David is an Associate Professor of Finance and the Director of the Calgary Centre for Research in Finance.  He joined the Haskayne School in the summer of 2005.  Alex obtained his BA (Honours) in Economics from St.  Stephen’s College at the University of Delhi and a PhD in Economics from UCLA in 1994. He has worked at the Federal Reserve Board in Washington DC as a staff economist for several years, and as a faculty member at the Olin School of Business at Washington University in St. Louis.

Alex teaches Financial Risk Management at the Undergrad and MBA programs as well as Advanced Corporate Finance to the MBAs.

His main research interest is the modeling of changing investors' uncertainty about the state of economic fundamentals and their impact on asset prices. Using a learning framework first introduced to the finance literature in his PhD dissertation, he has provided an economic foundation for the volatility persistence in GARCH models. More recently he has generalized classic pricing models for the pricing of options and defaultable bonds, replacing volatility as the key state variable by investors' uncertainty. This feature provides an equilibrium analysis of time variation in options' implied volatility curves and a resolution of the Credit Spreads Puzzle. He has also used this framework to develop a new methodology for forecasting recessions and the volatility of stocks and bonds for long horizons such as a year ahead. Finally, he has shown that investors' learning and speculation on the state of economic fundamentals provides a resolution of the Equity Premium Puzzle.

In other current research, he studies the systemic  implications of derivative contracts that are written between banks and in particular discusses the role of  renegotiation breakdowns between them that triggers off a chain of financial disruptions.  This research is of current relevance for the subprime mortgage crisis.

Alex has published in the Journal of Political Economy, as well as solo articles in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and the Journal of Risk and Insurance. His research has been supported by the National Science Foundation in the United States, and the Social Science and Humanities Research Council in Canada.  He received the Dean’s teaching award at Haskayne in 2007, coached the Haskayne Team that won the Rotman International Trading Competition in 2007, and the Killam Resident Fellowship in 2008.

Alex is a member of the American Finance Association and regularly serves as a referee for the Journal of Finance and the Review of Financial Studies, as well as several other journals.  In his spare time he enjoys listening to and playing Flamenco Guitar and outdoor activities such as golf, hiking and skiing. 



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