Research
Volatility Smirk as an Externality of Agency Conflict and Growing Debt, with Michael McAleer, accepted for publication in International Journal of Economic Theory
Should Zombie Lending Always Be Prevented, accepted for publication in International Review of Economics and Finance
Estimating Implied Recovery Rates from the Term Structure of CDS Spreads, with Micheal McAleer, R&R
First-Passage-Time in Discrete Time and Intra-Horizon Risk Measures, with Dick van Dijk (preliminary version)
The Puzzle of Cross-Sectional Dependence in Credit Spread Changes (preliminary version)
Information Acquisition Costs and Credit Spreads, with Daniel Rettl (comming soon)