Compressing over-the-counter markets
with Tarik Roukny (Macro Connections Group, MIT)
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European Systemic Risk Board Working Paper no. 44 (available here)
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Featured at the first ESRB annual conference (link to presentation and video)
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Presented at the American Economic Association Annual Meeting, Chicago, 2017 (link to paper session)
How does risk flow in the credit default swap market?
with S. Battiston (UZH), T. Peltonen (ESRB), M. Scheicher (ECB)
- forthcoming, Journal of Financial Stability
- European Central Bank Working Paper Series No 2041 (available here)
- Presented at the American Economic Association Annual Meeting, Chicago, 2017 (link here)
- Winner of the Young Scholar Award, Global Systems Science, European Commission
Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset
with J. Abad (CEMFI), I. Aldasoro (BIS), C. Aymanns (LSE), L. Fache Rousová (ECB), P. Hoffmann (ECB), S. Langfield (ESRB), M. Neychev (ESRB), T. Roukny (ULB)
European Systemic Risk Board Occasional Paper Series n. 11
Rethinking Financial Contagion
Network Valuation in Financial Systems
with P. Barucca (LIMS), M. Bardoscia (LIMS), F. Caccioli (UCL), G. Visentin (UZH), S. Battiston (UZH), G. Caldarelli (IMT)
DebtRank and the Network of Leverage
with S. Battiston (UZH) and S. Gurciullo (UCL)
Journal of Alternative Investments, Spring 2016
Opinion Dynamics and Price Formation: a Nonlinear Network Model