My main research interest is in arbitrage-free asset pricing models and I have recently been using these to model long term consumption & investment decisions and the valuation of distressed assets. I also work on issues in macro-finance, financial risk management and financial regulation. I am currently working on the following topics:
- Long-term consumption and investment optimisation
- Macro-finance models of international spillovers and the exchange rate
- Default risk in the inter-bank market
Full details of publications can be found at RePEc
- "The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default" Finance Research Letters, 2014, 11, pp 8–15, DOI 0.1016/j.frl.2013.05.006,
- (with Adam Golinski) “The Advantages of using Excess Returns to model the Term Structure”, Journal of Financial Economics 2017, 125, pp 163–181.
- (with Vito Polito) “The Optimal Control of Heteroscedastic Macroeconomic Models”, The Journal of Applied Econometrics, 2015,Volume 31, Issue 7 November 2016, pp 1430–1444 http://dx.doi.org/10.1002/jae.2488
- "US Bank Credit Spreads during the Financial Crisis", Journal of Banking & Finance 71 (2016) 168–182. http://dx.doi.org/10.1016/j.jbankfin.2016.04.015
- "UK Macroeconomic Volatility and the Term Structure of Interest Rates", June 2013, Oxford Bulletin of Economics and Statistics (DOI: 10.1111/j.1468-0084.2012.00698.x).
- (with Zhuoshi Liu): "Modelling Sovereign Credit Spreads with International Macro Factors: The Case of Brazil 1998-2009" Volume 37, Issue 2, February 2013, Pages 241-256, Journal of Banking and Finance.