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... Read more

 

WORKING PAPERS

 

    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.... Read more

     
    THE IMPACT OF SOVEREIGN SHOCKS (July 2018) 
    (with Antonio Picca)
    listed among the seven best academic research ideas by Wolfe Research, December 2016 Data & more

    We study the dynamic propagation mechanisms of systemic risk shocks within and across macro-systems of governments and financial institutions.... Read more

     
    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... Read more

 

Ph.D. and Master Dissertations