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“Contagion in the CoCos Market?: A Case Study of Two Stress Events,” with Pierluigi Bologna and Arianna Miglietta.
“Off-balance sheet funding, voluntary support and investment efficiency,” with Jing Zeng.
“Why did sponsor banks rescue their SIVs? A signaling model of rescues”
“How excessive is banks' maturity transformation?,” with Javier Suarez.
“Integrating stress tests within the Basel III capital framework: a macroprudentially coherent approach,” with Pierluigi Bologna.
“Debt maturity and the liquidity of secondary debt markets,” with Max Bruche.
(R&R, Review of Financial Studies)
WORK IN PROGRESS
“Recursive maturity transformation,” September 2013, with Javier Suarez. [Paper]
(Old version of the paper “How excessive is banks' maturity transformation?”)