Policy work

Credited policy publications

Liquidity risk in MBS markets (with P. Rungcharoenkitkul), BIS Quarterly Review, December 2022 [Media coverage:^, FT, Risk.net]

Leverage and liquidity backstops: cues from pension funds and gilt market disruptions (with P. Rungcharoenkitkul), BIS Quarterly Review, December 2022 [Media coverage: FT¹, FT²]

The increasing risk of investment grade indices: implications for investors (with K. Todorov), BIS Quarterly Review, September 2022

Are CLO investors underestimating tail risk in European markets? (with K. Detering and K. Todorov), BIS Quarterly Review, September 2022

DeFi lending: intermediation without information? (with S. Doerr, W. Huang and A. Schrimpf), BIS Bulletin, June 2022 [Media coverage: Bloomberg]

Tracing the footprint of cryptoisation in emerging market economies (with W. Huang and A. Schrimpf), BIS Quarterly Review, March 2022 [Media coverage: Bloomberg]

DeFi risks and the decentralisation illusion (with W. Huang and A. Schrimpf), BIS Quarterly Review, December 2021 [Media coverage: Bloomberg, FT, Reuters]

The rise of private markets (with F. Avalos), BIS Quarterly Review, December 2021 [Media coverage: Economist, FT]

Trading in the DeFi era: automated market-makers (with W. Huang and A. Schrimpf), BIS Quarterly Review, December 2021

Private markets: a primer (with F. Avalos), BIS Quarterly Review, December 2021

Sustainable finance: trends, valuations and exposures (with A. Zabai), BIS Quarterly Review, September 2021 [Media coverage: Bloomberg, FT, Reuters]

Futures-based commodity ETFs when storage is constrained (with K. Todorov), BIS Bulletin, April 2021

What drove the recent increase in the US inflation break-even rate? (with F. Avalos), BIS Quarterly Review, March 2021

The rising influence of retail investors (with F. Avalos), BIS Quarterly Review, March 2021 [Media coverage: Wall Street Journal]

The news sensitivity of high equity prices when long-term rates are low (with F. Avalos), BIS Quarterly Review, March 2021

Mind the buybacks, beware of the leverage, BIS Quarterly Review, September 2020 [Media coverage: S&P Global]

Corporate credit markets after the initial pandemic shock (with F. Avalos), BIS Bulletin, July 2020 [Media coverage: MLex]

Monitoring the Liquidity Profile of Mutual Funds (with C. Scotti and I. Zer), FEDS Notes, Board of Governors of the Federal Reserve System, May 2020

The recent distress in corporate bond markets: cues from ETFs (with F. Avalos), BIS Bulletin, April 2020 [Media coverage: Blackrock, Bloomberg, FT¹, FT², VoxEU]

Private credit: recent developments and long-term trends, BIS Quarterly Review, March 2020

OTC derivatives: euro exposures rise and central clearing advances (with W. Huang), BIS Quarterly Review, December 2019

Costs and benefits of switching to central clearing (with W. Huang), BIS Quarterly Review, December 2019 [Media coverage: CCP12]

Yield curve inversion and recession risk (with D. Xia), BIS Quarterly Review, September 2019

Structured finance then and now: a comparison of CDOs and CLOs (with F. Avalos), BIS Quarterly Review, September 2019 [Media coverage: Bloomberg, Forbes, Nasdaq, Reuters]

Investment mandates and fire sales: the case of mutual funds and BBB bonds (with E. Eren), BIS Quarterly Review, March 2019 [Media coverage: Bloomberg, Financial Times]

Financial markets remain vulnerable to year-end stress (with E. Eren), BIS Quarterly Review, March 2019

Synthetic ETFs (with C. Caglio and T. Tuzun), FEDS Notes, Board of Governors of the Federal Reserve System, August 2017 [Media coverage: Duke Law Global Financial Markets Center]

Messages from the academic literature on risk measurement for the trading book (with P. Durand, S. Kobayashi, M. Kwast, J. Lopez, G. Mazzoni, P. Raupach, M. Summer, J. Wu), Basel Committee on Banking Supervision, Working Paper 19, January 2011