I am a senior economist at the Bank of Canada, specializing in empirical research in financial markets. My primary focus is on studying extreme events through extreme value theory and option pricing. In my research, I develop and apply tools from these fields to gain insights into investor behavior and perceptions of market conditions. Additionally, I have a strong interest in liquidity and the information structures of over-the-counter markets. My research explores the impact of public information and monetary policy on market quality in opaque markets, such as the derivative, bond, repo, and securities lending markets. For a more detailed overview of my papers and ongoing research, please refer to the research section or my resume here (CV).

Contact

Bank of Canada
Financial Markets Department
234 Wellington Street
K1A 0G9, Ottawa, Ontario, Canada
Email: lerbyergun[AT]gmail.com