My current research focuses on international finance, sovereign debt, and financial regulation, combining macro-financial theory with empirical asset pricing. In particular, I study how regulation affects the pricing of sovereign bonds and other financial assets in open economies.  

Before starting the Ph.D., I worked as a research assistant at the Mexican Central Bank  and CEMLA.

You can find my complete CV below or in this link: CV

Abstract:

Convenience yields can arise in sovereign bonds even when they carry substantial credit risk. I document this phenomenon across 13 emerging market economies by comparing sovereign bond yields with those of synthetic benchmark strategies build to approximately replicate the bonds' cash flows and account for credit risk, but not their non-pecuniary properties. I find that the resulting convenience-yield proxy increases during stock market downturns and exchange rate depreciations, partially offsetting the procyclical return of the underlying sovereign bond. Using panel regressions, I find that a one-percentage-point decrease in banks' capital adequacy ratio is associated with an increase of 18 basis points in the convenience yield. Relative to periods of abundant bank capital, these estimates imply that capital scarcity can lower sovereign bond yields by up to 61 basis points on average, which are equivalent to potential annual sovereign borrowing-cost savings of up to 31 basis points of GDP. Preferential treatment under bank capital regulation can thus act as an implicit subsidy to sovereign borrowing, whose value rises precisely when bank capital is scarce.

Presented at: HEC Montréal (Scheduled), McGill University (Scheduled), 2026 Summer PhD Conference - McGill University, 2026 UQAM PhD Colloquium in Finance, 2026 Joint-PhD Symposium (Montreal), 2025 Joint-PhD Symposium (Montreal)

Research

Working Papers

• Option-Implied Local-Currency Credit Spreads 

with Patrick Augustin, Alexandre Jeanneret & Ella Patelli

Abstract

We develop an option-based framework to measure corporate credit spreads in local (LC) and foreign (FC) currencies. By construction, these measures embed identical physical default probabilities, so cross-currency differences isolate how default risk is priced across currencies. Using FX and equity index options from 33 markets, we construct comparable spreads not available in bond markets. LC spreads predict aggregate economic activity, including global output and US indicators, while the FC-LC spread differential forecasts exchange rate movements. Our framework links credit risk, macroeconomic activity, and exchange rate dynamics within a unified setting.

Presented at: NFA 2026;* FIRN 2026 ANU Money, Credit, and Financial Stability Meeting* (Best paper award); 15th Conference on Derivatives;* 2026 FRR Conference;* 2026 International Finance Conference;* Simon Fraser University;* UQAM, 2025 Summer PhD Conference - McGill University; 2025 FMA Annual Meeting;* 2025 CityUHK International Finance Conference;* 2023 Rotman Junior Finance Faculty Conference.*

* Presented by a co-author.

Work in Progress

• Implied Volatility Quanto Spreads 

with Patrick Augustin & Alexandre Jeanneret

CV