Working papers under revision or initial review

Bank and sovereign credit risk:
Spillover effects from the ECB's Comprehensive Assessment
, joint with Johannes Breckenfelder.
R&R, Journal of Empirical Finance.
(Most recent version: March 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

Score-driven tail shape, with application to bond yields at a high frequency, joint with Andre Lucas and Xin Zhang.
(a previous version)
A score-driven framework to model the time variation in the tail shape parameter of a Generalized Pareto Distribution.
ECB bond purchases between 2010-2012 had an impact on higher-order moments of bond yield changes as well.

An Arbitrage-Free Nelson Siegel model with factor volatility and interactions, joint with Geert Mesters and Siem Jan Koopman.
(older TI DP version)
An extended AFNS model to assess the impact of central bank policies on volatile yield curves.
Frank Diebold's blog entry on MSK (2015) is here.

Risk endogeneity at the lender/investor-of-last-resort, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
(in progress)

Dynamic^2 clustering based on hidden markov transitions, joint with Andre Lucas and Julia Schaumburg.
(in progress)

External presentations


* 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


* ECB DG-R internal seminar, Frankfurt, 04 Mar 2016

* Frankfurt School of Finance and Management, Finance seminar, Frankfurt, 30 Mar 2016

* Finance@VU seminar, VU Amsterdam, 01 Apr 2016

* [Temporary secondment to ECB banking supervision Apr - Jul 2016.]

* ECB DG-R internal seminar, Frankfurt, 29 Apr 2016

* ECB SSM, Frankfurt, 10 May 2016

* IAS Institute of Higher Studies, Econometrics seminar, Vienna, 09 Jun 2016

* GSE "Time series econometrics & applications" workshop, Barcelona, 20-21 Jun 2016

* International Association for Applied Econometrics conference, Milan, 22-25 Jun 2016

* EFA meeting, Oslo, 17-20 Aug 2016

* GRETA Credit conference, Venice, 06-07 Oct 2016

* Credit risk modeling workshop, Chicago Fed, 08-10 Nov 2016

* Riksbank seminar, Stockholm, 22 Nov 2016

* CFE/CMStatistics conference, Seville, 9-11 Dec 2016