Research

Working Papers

Recent working papers

• Bond Ratings, Disagreement, and Volatility: Early Evidence” (2023) with Mascia Bedendo and Lina El-Jahel.

• “The impact of global warming on small and micro European firms” (2023) with Zhenghong Ding, Alfonso Dufour, and Simone Varotto. 

• “Rain or Shine, Default Risks Align: Exploring the Climate-Default Nexus in Small and Micro Firms” (2023) with Zhenghong Ding, Alfonso Dufour,Ludovico Rossi and Simone Varotto.

• “Firm-level climate regulatory exposure” (2022) with Salim Baz, Alex Michaelides and Yi Zhang.

• “Media and Business Cycle Predictability” (2022) with Salim Baz, Alex Michaelides.

Work in Progress

• “The impact of sentiment and attention on the credit default swaps and equity markets” with Lina El-Jahel and Shi Yining

• “Media, economic activity and macroeconomic expectations” with Salim Baz and Alex Michaelides

• “Corporate bond pricing: Does sentiment matter?” With Lachlan Michalski, Rand Low and Lina El-Jahel

Older working paper

• “Doubly stochastic jump diffusion models of the term structure of interest rates” with Lina El-Jahel

• “Defaultable bonds and default correlation” with Lina El-Jahel

Publications

• “Lebanon: from dollars to Lollars” (2025) with Salim Baz, Alex Michaelides, International Finance, https://doi.org/10.1111/infi.12459

• “Corporate bankruptcy and banking competition: The effect of financial leverage” (2024) with Alfonso Dufour, Lodovico Rossi and Simone Varotto, Journal of Banking and Finance Vol 166, 107219.

• “The differential impact of leverage on the default risk of small and large firms” (2020) with Alfonso Dufour, Lodovico Rossi and Simone Varotto, Journal of Corporate Finance Vol 20 Pages 1-36

• "News sentiment and sovereign credit risk" (2020) with Nina Gotthelf, Uhl Matthias and Shi Yining, European Financial Management Vol 26 Pages: 261-287

• Excess comovement in credit default swap markets: Evidence from CDX indices (2019) with and Lina- El-Jahel. Leo Evans and Yining Shi, Journal of Financial Markets, Vol 43 Pages:96-120

• “Reputational shocks and the information content of credit rating” (2018) with Mascia Bedendo and Lina- El-Jahel, Journal of Financial Stability Vol:34 Pages 44-60

• “Basel II: An engine without brakes” (2017) with Lina El-Jahel and Ravel Jabbour Journal of Banking Regulation Vol: 18 Pages 359-374

• “Distressed debt restructuring in the presence of credit default swaps” (2016) with Mascia Bedendo and Lina- El-Jahel, Journal of Money Credit and Banking. Vol:48 Pages 165-201

• “ Implied liquidity risk in the term structure of sovereign credit default swaps” (2016) with Lina El-Jahel and Saad Badaoui, European Journal of Finance Vol:22 Pages 825-953

• “Can regulators allow banks to set their own capital ratios?” (2015) with Lina El-Jahel and Ravel Jabbour, Journal of Banking and Finance. Vol:53 Pages 112-123

• “Do sovereign credit default swaps represents a clean measure of sovereign default risk? A Factor Model Approach” (2013) with Lina El-Jahel and Saad Badaoui, Journal of Banking and Finance Vol:37, Pages 2392-2407

• “'The correlation structure of the CDS market: An empirical investigation” (2013) with Lina El-Jahel and Leo Evans, Journal of Fixed Income Vol:22, Pages:53-74

• “Market vs model CDS spreads: Mind the gap!” (2011) with Mascia Bedendo and Lina El-Jahel, European Financial Management,Vol. 17, Issue 4, pp. 655-678

• “How to use the slope of the term structure of credit spreads” (2008) with Mascia Bedendo and Lina El-Jahel, Professional Investor, Spring issue, pp. 34-41

• “The slope of the term structure of credit spreads: An empirical investigation” (2007) with Lina El-Jahel and Mascia Bedendo, Journal of Financial Research, Vol. 30, issue 2, pp 237-257

• “Pricing defaultable bonds: A middle way approach between structural and reduce form models” (2006) with Lina El-Jahel, Quantitative Finance, Vol. 6, pp 243-253

• “Trading down the slopes” (2005) with Mascia Bedendo, Lina El-Jahel and Lorenzo Liesch, Risk, Vol. 18, pp. 107-109

• “Multiple defaults and Merton’s model” (2004) with Lina El-Jahel, Journal of Fixed Income, Vol. 14, pp. 60-69

• “Semi-analytical pricing of defaultable bonds in a signaling jump-default model” (2003) with Lina El-Jahel, Journal of Computational Finance, Vol. 6, pp. 91-108

• “Valuation of defaultable bonds” (1998) with Lina El-Jahel, Journal of Fixed Income, Vol. 8, pp. 65-78

• “The pricing of floating rate instruments” (1998) Journal of Computational Finance, Vol. 1, pp. 31-51

Editorial Positions

• Associate Editor European Journal of Finance  2012-

• Associate Editor International Review of Finance 2025-

• Associate Editor- Journal of Banking and Finance 2015-2018