Working papers under revision or initial review

Bank to sovereign risk spillovers across borders:
Evidence from the ECB's Comprehensive Assessment
, joint with Johannes Breckenfelder.
R&R, Journal of Empirical Finance.
(Most recent version: November 2017) (SSRN) (Web Appendix)
A study of risk spillover from the banking to the sovereign sector within and across borders in the euro area.
Market participants understand that euro area countries (taxpayers) share the burden of rescuing foreign banks in distress.

Work in progress

Risk endogeneity at the lender/investor-of-last-resort, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
(a prelim version)
We study the time-variation in central bank portfolio credit risks associated with unconventional monetary policy operations.
Central banks to some extent make, rather than take, their balance sheet risks, particularly in turbulent times.

Time-varying tail shape, joint with Andre Lucas and Xin Zhang.
(an older version)
An observation-driven EVT framework to study time variation in the tail shape/index.
ECB bond purchases between 2010-2012 had an impact on higher-order moments of bond yields as well.

Nonlinear dynamic factor models with interacting level and volatility, joint with Geert Mesters and Siem Jan Koopman.
(in progress)

Dynamic^2 clustering of high-dimensional multivariate panel data, joint with Andre Lucas and Julia Schaumburg.
(in progress)

External presentations


* WHU Business School, Vallendar, Finance seminar, 22 Jan 2018

* Conference on "Bank business models", Bundesbank, Frankfurt 20-21 Feb 2018

* HeiKaMEtrics econometrics seminar series, KIT Karlsruhe, 26 Apr 2018

* Finance@VU seminar series, VU Amsterdam, 24 May 2018

* 11th annual SoFiE conference, Lugano, 11-14 Jun 2018

* Summer Forum on Time series econometrics, UPF Barcelona, 14-15 Jun 2018

* 10th ECB workshop on forecasting techniques, Frankfurt, 18-19 Jun 2018

* IAAE applied econometrics conference, Montreal, 26-29 Jun 2018


* FMA Latin-American conference, Mexico City, 16-17 Feb 2017

* Vienna-Copanhagen conference on Financial Econometrics, Vienna, 09-11 Mar 2017

* Time series econometrics and applications workshop, Barcelona, 6-7 Jun 2017

* High-dimensional time series econometrics, IAS Vienna, 8-9 Jun 2017

* 1st EcoSta (CFE) conference, Hong Kong, 15-18 Jun 2017

* 10th annual SoFiE conference, NYU Stern, 21-23 Jun 2017

* SoFiE course on term structure modeling, NBB Brussels, 26-30 Jun 2017

* 2017 Annual meeting of the central bank research association, Ottawa, 20-21 Jul 2017

* Credit risk workshop, Basel, 14-15 Sep 2017

* GRETA credit conference, Vienna, 28-29 Sep 2017

* ESCB research cluster conference on financial stability, Athens, 02-03 Nov 2017

* [Temporary secondment to ECB Directorate Risk Management Dec 17 - Apr 2018.]

* EC^2 conference, Amsterdam, 14-15 Dec 2017