Welcome to my academic webpage!

I am a Visiting Research Assistant Professor at NYU Stern School of Business. Prior to this, in September 2022, I joined BI Norwegian Business School after completing my Ph.D. in Finance from UCLA Anderson School of Management.


[CV]  | Google Scholar 

Research Interests

Empirical asset pricing, international finance, derivatives, macro-finance, and financial intermediation.


Contact Details

Department of Finance

Leonard N. Stern School of Business

44 West Fourth Street | New York 10012 | USA     

Email: lg4086@nyu.edu


Department of Finance

BI Norwegian Business School 

 Nydalsveien 37 | Oslo 0484 | Norway

Email: ljubica.georgievska@bi.no

Working Papers

4.   "The Hairy Premium" - with Pasquale Della Corte, Anthony Saunders, and Zhaneta Krasimirova Tancheva

Presentations: AFA Annual Meeting (2024)*, Miami Herbert Business School Seminar (2024)*, EFA Annual Meeting (2024), EEA Annual Meeting (2024)*, Finance and Accounting Annual Research Symposium (2024)*,  Financial Engineering and Banking Society Conference (2024)*, Bulgarian Council for Economic Research Conference (2024), Alpine Finance Summit (2024), NFA (2024), Norges Bank Seminar (2024), BI Norwegian Business School Seminar (2023)*, NFN Young Scholars Nordic Finance Workshop (2023), BI Workshop on Uncertainty (2023)*


Abstract: This paper explores a puzzle originating from the market’s persistent tendency to overestimate future spot rates, as evidenced by consistently overshooting forward rates. This results in unusually high positive long-term returns on net zero investments. We introduce the Hairy premium to quantify this puzzle. Since the 1990s, the 10-year US Hairy premium has averaged 3% p.a., ranging between 4.8% maximum and 1.1% minimum, consistently above 0, indicating asymmetric risk-reward. The Hairy premium spans over a century and it is a global phenomenon across G11 countries. About 45% is explained by a single global factor. While 14% of its variance is attributable to conventional term premiums, unlike them, it exhibits countercyclical dynamics, relating positively to recessions and inflation expectations, thus providing hedge during bad times. We show that a general equilibrium model with persistent degree of short-termism, motivated by interest rate swaps market structure and recent survey evidence, can explain the existence and dynamics of the Hairy premium.


[Preliminary draft]  


3.    "Currency Crashes and Sovereign Defaults: Two Markets and One Tail Risk" 

Presentations: AFA Annual Meeting, EEA Annual Meeting, Bank of England: 8th International Conference on Sovereign Bond Markets, Anderson School of Management Brownbag Seminar, and SDU


Abstract: Are currency crashes related to sovereign defaults? These are rare states of the world, and measuring their relationship is difficult. I take a novel approach. I learn about the risk-neutral distribution of currency crashes from prices of far out-of-the-money (FOM) foreign exchange (FX) options and about sovereign defaults from prices of credit default swaps (CDS). I find these two markets inextricably linked, as if their instruments are insuring against the same tail risk. But I also find puzzling evidence of segmentation between the markets that disappears only during times of sovereign crises. Using the results of the link, I develop a novel quantitative distress measure known as the “distance to crash,” which I show is related to three market anomalies: the discovered market segmentation, the credit spread on local currency versus US dollar denominated sovereign risk known as the “quanto”, and the carry trade.


[Updated draft]   [Internet Appendix]


2.    "Covered Interest Rate Parity with Collateral" 

Presentations: EEA Annual Meeting, AFA Annual Meeting (Poster), Auckland Center’s Derivative Markets Conference, International Risk Management Conference, Virtual Derivatives Workshop, and Anderson School of Management Brownbag Seminar


Abstract: I show that a no-arbitrage consistent but costly collateral rental yield explains about two-thirds of the apparent standard Covered Interest Rate (CIP) violations. I proxy this yield with the difference between the risk-free and overnight index swap rates between the cross bilateral currencies and apply it to both short and long-term CIP violations. Further, the results suggest an important direct collateral channel through which costly collateralization explains CIP violations, independent of previously documented global risks and intermediary frictions.


[Updated draft]   [AFA Poster]   [Internet Appendix]  [Virtual Derivatives Workshop 2020 Presentation]



1.    "Constraints of Collateralization and Regulation and the Law of One Price"

Awards: Macro Financial Modeling Project Fellowship Award from the Becker Friedman Institute at the University of Chicago 

Summary: I research collateralisation and bank regulatory changes in the post-2008 crisis period and their ability to explain large and persistent deviations from the law of one price observed in a number of arbitrage opportunities measured by cash-derivative bases across asset classes. The study attributes the inability to narrow these arbitrage opportunites to costs of participation which arise due to intermediaries facing a collateral, leverage and liquidity constraints, resulting in limits-to-arbitrage. These constraints inhibit regulated dealers/investors’ ability to arbitrage bases across various asset classes and over time. Moreover, I go a step further and  measure the magnitude of the effects of each binding constraint on the deviations from law of one price across time and in the cross section across several asset classes. This allows me to classify asset classes by the magnitude of impact received from the binding constraints. The asset class bases I look at are: Bonds-CDS, Treasuries-Interest Rate Swaps, Covered interest rate parity, Inflation rate swaps-TIPS, and Stock Index - Stock index swaps bases.

[Updated draft]

Publication of Master Thesis

Georgievska A., Georgievska, Lj, Stojanovic, A. and Todorovic, N. (2011), “Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong?” in Robert W.Kolb (ed.), Sovereign Debt: From Safety to Default (by invitation), Wiley, ISBN 978-0-470-92239-2



Georgievska A, Georgievska, Lj., Stojanovic, A. and N. Todorovic (2008), Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings, Journal of Applied Statistics, 35(9), p.1031-1051

Gratitudes to Tsafitanos for the web design