Amy Wang Huber

About Me

I am an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania.

My research studies how financial intermediation shapes asset market outcomes. By combining theoretical modeling with empirical analysis, I examine how frictions faced by large financial intermediaries—such as FX dealers, private capital firms, and institutional investors—affect asset prices, incentives, and the transmission of shocks across markets.

I hold a Ph.D. in Finance from the Stanford Graduate School of Business and an A.B. in Economics, magna cum laude, from Harvard College. Prior to graduate school, I was a consultant at McKinsey & Company’s New York office and a private equity investor at the Abu Dhabi Investment Authority (ADIA). I am a CFA charterholder.

Email: amyhuber [at] wharton.upenn.edu

Address: 3620 Locust Walk, Suite 2320, Philadelphia PA

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Working Papers

NEW: Buying from the Family: Private Equity-Owned Insurers and Their Affiliated Investments

with Stefan Huber, Bella Shan, Christina Zhu

Selected Presentations: NBER Summer Institute Corporate Finance

Download: Paper

Abstract: Private equity (PE) firms increasingly own insurers as direct subsidiaries. This ownership places insurers within organizations that also originate, manage, and securitize credit assets. We study whether and on what terms insurers directly owned by PE firms provide financing to affiliated credit businesses. Using a novel dataset linking insurer ownership structures, transactions, holdings, and regulatory stress-test outcomes, we document three findings. First, PE-owned insurers provide substantial financing to affiliated credit businesses: 60.8% of their 2024 structured-security investments are issued by affiliated entities, compared to 1.7% for other insurers. Second, comparing purchases of the same security on the same day, PE-owned insurers pay systematically higher prices when buying from affiliated issuers, implying more favorable financing terms for those issuers. Third, affiliated investments offer higher promised yields but substantially greater downside risk under stress scenarios. We estimate that the overpayment corresponds to a financing subsidy of approximately $27 million per year for affiliated issuers, while the elevated risk profile would reduce insurer capital by 8.9 percentage points under a 2008 financial crisis stress scenario. Together, our results suggest that PE-owned insurers function as a captive source of capital for affiliated credit activities, raising concerns about policyholder protection and financial stability.

NEW: When Funding Markets Move Credit Markets: Foreign Investors and Their U.S. CLOs

with Shohini Kundu

2026 International Finance Society Best Paper Award

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Abstract: We show that U.S. leveraged credit markets and global dollar funding markets are jointly determined through the portfolio and funding decisions of Japanese banks, which hold roughly one-quarter of all U.S. CLO AAA tranches. The JPY–USD cross-currency basis, which measures the cost of obtaining dollars via FX swaps and forwards, is a strong predictor of AAA spreads and issuance, a relationship not found among other safe-assets. We develop a two-market equilibrium model in which the strength of pass-through from funding conditions to CLO spreads is governed by the aggregate demand elasticity of Japanese banks. We confirm the model’s central prediction using three identification strategies: Japan’s 2019 Basel III securitization rules, the Bank of Japan’s 2023–2024 policy normalization, and quarter-end balance-sheet reporting cycles. Shocks that increase demand elasticity amplify basis pass-through, while shocks that decrease it dampen pass-through. These shocks are typically modeled as demand shifters. We show they also tilt the demand curve, altering the sensitivity of credit pricing to funding conditions. As a result, foreign market share alone understates domestic credit markets’ vulnerability to external funding shocks, as spillovers depend not only on the level of participation but also on the elasticity of foreign investors’ demand.

Geoeconomic Competition and Capital Reallocation in Global FX Funding

with Yu An

2026 CICF Yihong Xia Best Paper Award

2026 ESAB Ieke van den Burg Prize for Research on Systemic Risk (Runner-up)

Selected Presentations: NBER Financial Market Frictions and Systemic Risks

Download: Paper

Abstract: We study geoeconomic competition and capital reallocation in global financial markets, using the foreign exchange (FX) funding market as our empirical setting. FX funding, obtained by borrowing one currency while pledging another through FX swaps, is instrumental to cross-border investment and provides highfrequency measures of capital reallocation. Countries compete for FX funding through policy actions that shift investment returns or funding costs, thereby inducing global portfolio rebalancing by private investors. We quantify this competition by measuring how one country’s inflow responds to another country’s actions, which we call “reallocation exposure.” Because observed funding flows reflect common shocks and strategic interactions across countries, bilateral influence is difficult to identify. We resolve this challenge by identifying “funding fronts,” the independent margins of portfolio adjustment that enable systematic estimation of reallocation exposure. Applying our framework to a proprietary dataset, we find that FX funding competition is concentrated in a small number of funding fronts, with a dominant U.S. dollar front accounting for most capital reallocation. Consequently, changes in U.S. conditions generate disproportionately large reallocations elsewhere. We use reallocation exposure to construct timevarying measures of geoeconomic power and show that variations systematically track major monetary, fiscal, and geopolitical events. Finally, we characterize the network of financial competition and cooperation and show that strategic responses implied by reallocation exposure align with cross-country movements in policy rates.

UPDATED: Demand Propagation Through Traded Risk Factors

with Yu An

Selected Presentations: NBER International Finance & Macroeconomics

Selected Media Mentions: The Economist, Knowledge at Wharton

Download: Paper

Abstract: We quantify how uninformed demand affects exchange rates in an interconnected FX market. Using 11 years of daily customer-bank FX flows and exchange-rate returns across 17 currencies, we find that a $1 billion demand shock to one currency moves other exchange rates by up to 9 basis points, with substantial heterogeneity across currency pairs. Our key insight is that cross-currency propagation can be decomposed into factor-level repricing and currencies' exposures to common risks. We make this decomposition empirically tractable by identifying three traded risk factors that account for 90% of the non-diversifiable risk banks bear when absorbing customer demand imbalances and that plausibly exhibit no cross-factor price effects. We estimate each factor's price sensitivity using sovereign bond auction announcements as instruments for non-informational shocks to factor demand and find that the FX market is highly elastic. Consistent with the model's predictions, out-of-sample FX interventions show that shocks originating in one currency transmit broadly across FX markets through shared risk exposures.

Published and Accepted Papers

Dollar Asset Holdings and Hedging Around the Globe

with Wenxin Du

Forthcoming at The Review of Financial Studies (2026)

2026 ICPM Research Award Finalist

Selected Presentations: NBER Summer Institute International Asset Pricing, NBER Insurance

Selected Media Coverage: NBER Digest, Fortune’s CFO Daily

Download: Paper, NBER Digest

Abstract: We collect and analyze detailed filings from global institutional investors to estimate foreign investors' U.S. dollar (USD) security holdings and currency hedging. Over two decades, foreign USD holdings grew sixfold, while hedge ratios rose by 15 percentage points after the 2008-2009 crisis. Currency hedging across mutual funds, pensions, and insurance reached $2 trillion by 2019. Hedging demand varies across investors, currency areas, and banking systems. We show that expected FX returns, beyond variance minimization, drive currency exposure in portfolios. Finally, we demonstrate and quantify how aggregate hedging demand affects hedging costs in the presence of constrained intermediaries.

Market Power in Wholesale Funding: A Structural Perspective from the Triparty Repo Market

The Journal of Financial Economics (2023) -- Editor's Choice/Leader Article

2023 Marshall Blume Prize in Financial Research (Honorable Mention)

Selected Media Coverage: Risk.net

Download: Paper

Abstract: I model and structurally estimate the equilibrium rates and volume in the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders’ aversion to portfolio concentration and preference for stable lending grant dealers substantial market power: between 2011 and 2017, dealers borrowed at rates that were 26 bps lower than their marginal value from intermediating the borrowed repo funds. Dealers’ market power makes the observed wholesale repo rate understate the financing rate available to market participants who rely on repo funding, and offers a novel explanation for funding spreads such as the Treasury cash-futures basis and the Treasury swap spread.

Are Intermediary Constraints Priced?

with Wenxin Du, Ben Hébert

The Review of Financial Studies (2022)

2019 Best Paper Award at the Vienna Symposium on FX Markets (Runner-up)

Selected Presentations: NBER Asset Pricing, NBER International Finance & Macroeconomics, NBER Summer Institute International Asset Pricing

Download: Paper

Abstract: Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy’s risk substantially contributes to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be consistently priced across various asset classes.

Discussions

2026

NBER SI AP / Macro, Money and Financial Frictions: “Cross-Asset Limit Allocation of Trading Desks” by Falk Bräuning, Wenxin Du, Hillary Stein

IMF-WIFPR Conference on the Evolving Global Financial Architecture: “Tokenized Gold” by Campbell R. Harvey, Chen Lin, Daniel Rabetti, Che Zhang

Joint BIS, BoE, ECB, IMF, and JIE Spillover Conference: “Global Portfolio Investments and FX Derivatives” by Tsvetelina Nenova, Andreas Schrimpf, Hyun Song Shin

Fed Dollar Conference: “Demand for Dollars: Evidence from Survey Expectations” by Benedikt Ballensiefen, Fabricius Somogyi, Hannah Winterberg

AFA: “On the Use of Currency Forwards: Evidence from International Equity Mutual Funds” by Wei Opie, Steven Riddiough

AFA: “Unconventional Monetary Policy Spillovers and the (In)convenience of Treasuries” by Karlye Dilts Stedman, Andrew Hanson

AFA: “Global Currency Risk and Corporate Carbon Emissions” by Po-Hsuan Hsu, Yan Li, Mark P. Taylor, Zigan Wang

2025

IMF-WIFPR Conference: “The Global Network of Liquidity Lines” by Saleem Bajah, Marie Fuchs, Richardo Reis

WFA: “Investor Fragility, Bargaining Power, and Pricing Implications for Short-Term Funding Markets” by Yi Li, Sean Tibay, Ashley Wang

Michigan Ross-Mitsui Symposium: “Liquidity Flows to Bank-Affiliated Broker Dealers: Insights from Volumes and Prices” by Jennie Bai, Erik Bostrom, Sebastian Infante, Victoria Ivashina. Best Discussant Award

2024

ECB Conference on Money Markets: “The Implications of CIP Deviations for International Capital Flows” by Christian Kubitza, Jean-David Sigaux, Quentin Vandeweyer

Fed Dollar Conference: “Dealer Risk Limits and Currency Returns” by Omar Barbiero, Falk Bräuning, Gustavo Joaquim, Hillary Stein

FIRS: “The Central Bank’s Balance Sheet and Treasury Market Disruptions” by Adrien d’Avernas, Damon Petersen, Quentin Vandeweyer

AFA: “Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity” by Felipe Aldunate, Zhi Da, Borja Larrain, Clemens Sialm

2023

Yale Financial Stability Conference: “Central Banker to the World: Foreign Reserve Management and U.S. Money Market Liquidity” by Ron Alquist, R. Jay Kahn, Karlye Dilts Stedman

Yale Junior Finance Conference: “Collateral Demand and Liquidity Demand in Wholesale Funding Markets” by Jamie Coen, Patrick Coen, Anne-Caroline Hüser

SFS Cavalcade: “Intermediary Market Power and Capital Constraints” by Jason Allen, Milena Wittwer

Bank of Israel: “The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage” by Nadav Ben Zeev, Daniel Nathan

MFA: “Quantitative Easing, Bank Lending, and Macroprudential Regulation” by Andrea Orame, Rodney Ramcharan, Roberto Robatto

AFA: “Money Markets and Bank Lending: Evidence from the Tiering Adoption” by Carlo Altavilla, Miguel Boucinha, Lorenzo Burlon, Mariassunta Giannetti, Julian Schumacher

2022

Australasian Finance and Banking Conference: “Evergreen Lending in Times of Crisis” by Daniel Rabetti

FIRS: “Monetary Policy Transmission in Segmented Markets” by Jens Eisenschmidt, Yiming Ma, Anthony Lee Zhang

Teaching

Valuations (FNCE7070). MBA-level. Spring Semester.

Download: Syllabus (2026)

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