Working Papers
Climate Change Risk and Interest Rates with Rongxin Chen and Hafiz Hoque
Borrowing Choices of Local Governments and the Term Structure of Interest Rates with Dennis De Widt
Option Implied Discount Rates with Andrei Stancu and Chardin Wese Simen
Publications
Academic:
1. Contingent Claims and Hedging of Credit Risk with Equity Options
Co-author: Enrique Salvador
Review of Asset Pricing Studies 14, 310-348 (2024)
2. Does CDS Trading Affect Risk-Taking Incentives in Managerial Compensation?
Co-authors: Jie Chen, Woon Sau Leung and Wei Song
Journal of Banking & Finance 151, 105485 (2023)
3. The Predictive Power of the Dividend Risk Premium
Co-authors: Andrei Stancu and Chardin Wese Simen
Journal of Financial & Quantitative Analysis 56, 2843-2869 (2021)
4. Dissecting Macroeconomic News
Co-authors: Andrei Stancu and Chardin Wese Simen
Journal of Money, Credit & Banking 53, 1047-1077 (2021)
5. Rethinking Capital Structure Arbitrage: A Price Discovery Perspective
Co-author: Emese Lazar
Journal of Alternative Investments 22, 75-91 (2020)
6. Credit Default Swaps as Indicators of Bank Financial Distress
Co-authors: Thomas Conlon and John Cotter
Journal of International Money & Finance 94, 132-139 (2019)
7. Time Varying Price Discovery
Co-authors: Emese Lazar and Simone Varotto
Economics Letters 126, 18-21 (2015)
8. Are CDS Spreads Predictable? An Analysis of Linear and Non-Linear Forecasting Models
Co-author: Ogonna Nneji
International Review of Financial Analysis 34, 262-274 (2014)
9. Sovereign and Bank CDS Spreads: Two Sides of the Same Coin?
Co-author: John Cotter
Journal of International Financial Markets, Institutions & Money 32, 72-85 (2014)
10. Price Discovery of Credit Spreads in Tranquil and Crisis Periods
Co-authors: Emese Lazar and Simone Varotto
International Review of Financial Analysis 30, 242-253 (2013)
Professional:
1. Trimming hedge costs with a mark-to-market approach
Co-author: Enrique Salvador
Creditflux Magazine, August (2018)
2. Finding inefficiencies in iTraxx
Co-author: Ogonna Nneji
Creditflux Magazine, December (2013)