What Drives Repo Haircuts? Evidence from the UK Market
Using a unique transaction-level data, we document that only 60% of bilateral repos held by UK banks are backed by high quality collateral. Banks...
On the Fragility of DeFi Lending
We develop a dynamic model of DeFi lending that incorporates the following key features: 1) borrowing and lending are decentralized, anonymous...
The spread of COVID-19 in London: Network effects and optimal lockdowns
Journal of Econometrics, 235 (2), 2125-2154
Research highlight
Dynamic Asset-Backed Security Design
The Review of Economic Studies, 90(6), 3282–3314
Research highlight
Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
Dynamic Asset-Backed Security Design
Borrowers obtain liquidity by issuing securities backed by current period payoff and resale price of a long-lived collateral asset. They are privately...
Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims
We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...
Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
Journal of Financial Economics, 141(3), 831-859
How we learned to stop counting cases and worry about network effects instead
The commuter hub was key to the spread of COVID-19 in London. The authors of the article estimate it contributed to over 42% of all London cases. When...
The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns
We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics...
Contractual Externalities and Systemic Risk
The Review of Economic Studies, Volume 84, Issue 4, Pages 1789–1817.
Endogenous Contractual Externalities
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...
Endogenous Contractual Externalities
We study effort and risk-taking behaviour in an economy with a continuum of principal-agent pairs where each agent exerts costly hidden effort. When...
Network Risk and key Players: A Structural Analysis of Interbank Liquidity
We model banks’ liquidity holding decision as a simultaneous game on an interbank borrowing network. We show that at the Nash equilibrium, the...
Trading frenzies and their impact on real investment
Journal of Financial Economics, 109 (2). pp. 566-582.
