This is my personal website and the views expressed here do not necessarily reflect those of Banca d'Italia
Research interests Banking theory, banking regulation, financial crises, corporate finance
Economist at Banca d'Italia (from 2014)
Research Affiliate at CEPR (from 2019)
Contact: Via Nazionale 91, Roma; Tel: 00390647926042; email: anatolisegura(at)gmail.com
CV [pdf]
PUBLICATIONS
“Bank restructuring under asymmetric information: The role of bad loan sales,” with Javier Suarez.
Journal of Financial Intermediation, Volume 56, October 2023. [Paper][CEPR DP]
“Firm-bank linkages and optimal policies after a rare disaster,” with Alonso Villacorta.
Journal of Financial Economics, Volume 149, Issue 2, August 2023, 296-322. [CEPR DP]
“The paradox of safe asset creation,” with Alonso Villacorta.
Journal of Economic Theory, Volume 210, June 2023. [Paper]
“Contagion in the CoCos Market?: A Case Study of Two Stress Events,” with Pierluigi Bologna and Arianna Miglietta.
International Journal of Central Banking, December 2020, 16(6), 137-184. [Paper] [Paper on SSRN][Vox column]
“Off-balance sheet funding, voluntary support and investment efficiency,” with Jing Zeng.
Journal of Financial Economics, July 2020, 137(1), 90-107.[Paper] [Online Appendix][Paper on SSRN]
“Why did sponsor banks rescue their SIVs? A signaling model of rescues”
Review of Finance, March 2018, 22 (2), 661-697. [Paper] [Paper on SSRN]
“How excessive is banks' maturity transformation?,” with Javier Suarez.
Review of Financial Studies, October 2017, 30(10), 3538-3580. [Paper] [Online Appendix] [Paper on SSRN] [Vox column]
“Integrating stress tests within the Basel III capital framework: a macroprudentially coherent approach,” with Pierluigi Bologna.
Journal of Financial Regulation, September 2017, 3(2), 159-186. [Paper] [Paper on SSRN]
“Debt maturity and the liquidity of secondary debt markets,” with Max Bruche.
Journal of Financial Economics, June 2017, 124(3), 599-613. [Paper] [Online Appendix] [Paper on SSRN]
WORKING PAPERS
“Collective moral hazard in a banking union,” with Sergio Vicente.
(Previously circulated as "Bank resolution and the public backstop in an asymmetric banking union" [Paper on SSRN])
(2nd R&R, Review of Financial Studies)
“Common deposit insurance, Cross-border Banks and Welfare,” with Gyongyi Loranth and Jing Zeng. [CEPR DP]
(R&R, Management Science)
“Inflation, Leverage and Stock Returns,” with Angelo D’Andrea, Andrea Fabiani and Fabio Piersanti.[CEPR DP][Vox column]
WORK IN PROGRESS
“A model of synthetic securitization,” with Alonso Villacorta.
“Optimal private funding of deposit insurance,” with Alonso Villacorta.
"Dynamic interest rate risk hedging: Evidence from Italian banks" with Michele Bianchi and Dario Ruzzi.
UNPUBLISHED MATERIALS
“Optimally solving banks' legacy problems,” with Javier Suarez. [CEPR DP] [BoI WP]