Research
Publications
Funding Shortages, Expectations, and Forward Rate Risk Premium (with Robert Jarrow)
Quantitative Finance, 2022.
Risk Premia, Asset Price Bubbles, and Monetary Policy (with Robert Jarrow)
Journal of Financial Stability, 2022.
Asset Price Bubbles, Market Liquidity, and Systemic Risk (with Robert Jarrow)
Mathematics and Financial Economics (Special Issue: Systemic Risk and Financial Networks), 2021.
The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions (with Robert Jarrow)
Quarterly Journal of Finance, 2020.
Working Papers
Impact of Monetary Policy on Interest Rate Risk and Derivative Valuation (with Robert Jarrow)
Default Risk and Transition Dynamics with Carbon Shocks (IMF working paper version)
Testing for Asset Price Bubbles using Options Data (with Nicola Fusari and Robert Jarrow)
Policy Papers and Reports
2023 Kazakhstan Financial System Stability Assessment (stress testing lead, contribution to climate risk analysis), Country Report 2024/048
Delays in Climate Transition Can Increase Financial Tail Risks: A Global Lesson from a Study in Mexico (with Dimitrios Laliotis), IMF working paper 2023/175)
From Extreme Events to Extreme Seasons: Financial Stability Risks of Climate Change in Mexico (with Michaela Dolk and Dimitrios Laliotis), IMF/WB joint working paper
Approaches to Climate Risk Analysis in FSAPs (with T. Adrian, P. Grippa, M. Gross, V. Haksar, I. Krznar, C. Lepore, F. Lipinsky, H. Oura, and A. Panagiotopoulos), IMF Staff Climate Note 2022/005
2022 Mexico Financial Sector Assessment Program (FSAP): Technical Note on Systemic Risk Analysis and Stress Testing (contribution to solvency stress test), Country Report 2022/359