Research Areas of Interest:

International Finance; Systemic Risk; Asset Management; Banking & Financial Stability; Empirical Asset Pricing; Credit Risk;


  • The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area, ( Rivista Bancaria, 2012, issue 6)
  • Carry trades and the performance of currency hedge funds, (Journal of International Money and Finance, 2013, Elsevier, vol. 33(C), pages 407-425) with Giorgio Valente
  • How much does the stock market risk decline with the investment horizon? A cross-country comparison, (Economic Notes, 2014, vol. 43, issue 1  ) with Carlo A. Favero
  • The information in systemic risk rankings, ECB wp n. 1875,  (Journal of Empirical Finance,  2016, vol. 38(C),  pages, 461-475), with A. Lucas, S.J. Koopman and B. Schwaab. Summarized in the ECB’s Financial Stability Review Fall 2015, p. 80-82
  • Do negative interest rates make banks less safe?, ECB wp n.2098, (Economics Letters, 2017, Elsevier, vol. 159pages 112-115with A. Lucas, J. Schaumburg and B. Schwaab.
  • Unemployment fluctuations  and the predictability of currency returns, (Journal of Banking and Finance, 2017, Elsevier, vol. 84pages 88-106)
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