Analyses

"Designing holding limits for central bank digital currency", with Adalid, R. et al., ECB Occasional Paper Series (forthcoming 2025)

"2025 Stress test of EU banks", with EBA, ECB and ESRB colleagues, 2025

"2021 Stress test of EU banks", with EBA, ECB and ESRB colleagues, 2021

and multiple reports for institutional clients and traders of Intesa Sanpaolo

Work in progress 

"Transactional demand for central bank digital currency", with Zamora-Perez, A. (being revised for submission) [ECB Research Bulletin, video] [CEPR VoxEU Column] [SUERF Policy Brief]

"A new measure of systemic liquidity risk", with Morelli, G., Pugliese, V. and Santucci de Magistris, P.

"Systemic liquidity: insights from an agent–based model", with Basurto, A. and Halaj, G. 

"Learning probability of default and stress testing", with Scaglioni, S.

Refereed publications

[4] "Temporal networks and financial contagion" with Franch, F. and Vouldis, A., Journal of Financial Stability, 2023 [Web appendix] [ECB WP]

[3] "Unit root test combination via random forests", with Ollech, D. and Webel, K., Contributions to Statistics, 2022 [WP]

[2] "Finite sample forecast properties and window length under breaks in cointegrated systems",  Advances in Econometrics, 2021 [Web appendix] [Granger Centre DP]

[1] "Cross-border effects of prudential regulation: evidence from the euro area", with Franch, F. and Zochowski, D., Journal of Financial Stability, 2020 [ECB WP] [BIS Paper Chapter]