Research

PUBLISHED PAPERS

 

    SOVEREIGN CREDIT RISK (March 2016) 
    (with Pietro Veronesi)
    in Handbook of Fixed-Income Securities, edited by Pietro Veronesi, Wiley [Handbook]

    This chapter reviews recent techniques to model sovereign credit risk

 

WORKING PAPERS

 

    THE IMPACT OF SOVEREIGN SHOCKS (November2018) 
    (with Antonio Picca)
    listed among the seven best academic research ideas by Wolfe Research, December 2016

    This paper studies the dynamic propagation mechanisms of systemic risk shocks within and across macro-systems of governments and financial institutions.

 

    CREDIT-IMPLIED VOLATILITY (October 2016)
    (with Bryan Kelly and Diogo Palhares)
    winner of the 2016 Jack Treynor Prize (Q-Group), October 2016

    The pricing of corporate credit can be succinctly understood via the credit-implied volatility (CIV) surface.

     
    POLITICAL UNCERTAINTY, CREDIT RISK PREMIUM, AND DEFAULT RISK (August 2013)
    John A. Doukas Doctoral Best Paper Award, June 2014

    I empirically decompose sovereign credit spreads into a default-risk component and its associated (credit) risk premium and study

 

Ph.D. and Master Dissertations