Policy work
Policy papers
Intergenerational Social Mobility in Africa since 1920
joint with Rasmane Ouedraogo
IMF Working Paper No. 2021/215
A short Video summary (IMF Analytical Corner, Spring 2022)
Coverage: IMF news magazine
Stress Testing Net Trading Income: The Case of European Banks
joint with Carla Giglio, Frances Shaw & Giuseppe Cappelletti (2021)
ECB Working Paper No. 2525, slides
We propose a two-step econometric approach to quantify the downside risk of financial shocks on the banks’ trading revenues. First, we estimate the parameters of a fixed-effects quantile autoregressive model conditional on exogenous macro- financial shocks and bank characteristics. Second, we approximate the entire empirical conditional distribution of net trading income across all banks and time horizons by interpolating between the estimated quantiles. Based on the estimated distribution function, we derive two key metrics relevant in stress test exercises. We apply our methodology to supervisory data for a representative sample of European banks over a 5-years period.
Presented at: Frankfurt Brown Bag Seminar 2021, ECB Financial Stability seminar 2021, EEA-ESEM 2021 meeting
Invited at: ESM seminar (May 2021)