Policy work
Policy work
Energy exposure and oil shocks: Impacts on firms and bank credit , 2026, with Roberto Panzica, Financial stability report, Special Feature, page 117-129, Banco de Portugal, Maio 2026 (link)
Recovery, quantified: How we built a dataset of loan recovery estimates, 2025 with Tiago Pinheiro (link)
This paper estimates recovery parameters for corporate loans in Portugal using granular data from Banco de Portugal’s Credit Register. To correct for sample selection bias present in recovery databases, it models jointly recoveries and the time to recovery. Covering the period from 2009 to 2024, the dataset provides monthly estimates of expected recovery, uncertainty, and time to recovery. These estimates are generally stable, with greater variability after September 2018 due to a more comprehensive loan characterization and improved data granularity. Recovery parameter estimates can be used in applications such as credit risk monitoring, loan pricing, and regulatory capital estimation. The methodology can be applied to similar credit registers.
The recoveries database from the Portuguese Credit Register, 2025 with Tiago Pinheiro (link)
This paper presents a comprehensive dataset of recovery rates for all defaulted banking loans to firms and individuals in Portugal from 2009 to 2024, based on Banco de Portugal’s Credit Register. The dataset includes the recovery rates and time to recovery for over 3.2 million exposures. From September 2018 onward, it contains loan-level data on cumulative recoveries recorded monthly from the time of default.
Evolution of firm credit risk and loan pricing , 2025, Financial stability report, Box 3, page 53-57, Banco de Portugal, Maio 2025 (link)
O papel das caraterísticas das empresas na determinação das taxas de juro dos empréstimos bancários, 2024 , Relatório de Estabilidade Financeira, Tema em Destaque (Special Feature), páginas 99-110, Banco de Portugal, Maio 2024 (link)
Insurers’ balance sheets amid rising interest rates: transmission and risk-taking, 2022 with Christoph Kaufmann and Manuela Storz, Financial Stability Review, Box 4, pages 79-81, European Central Bank, November 2022 (link)