Testing for Asset Price Bubbles using Options Data (with Nicola Fusari and Robert Jarrow)
Journal of Business & Economic Statistics, 2025.
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.
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)
Working papers and Notes:
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
Financial Sector Assessment Program (FSAP):
People's Republic of China: Financial System Stability Assessment (climate risk analysis lead), Country Report No. 2025/100.
Republic of Kazakhstan: Financial System Stability Assessment (stress testing lead), Country Report 2024/048.
Mexico: Financial System Stability Assessment (climate risk analysis lead and contribution to stress test), Country Report No. 2022/335.
Technical Note on Systemic Risk Analysis and Stress Testing, Country Report No. 2022/359.