Modelling fire sale contagion across banks and non-banks with Fabio Caccioli and Amanah Ramadiah (forthcoming) - Journal of Financial Stability [Media/Citation:]

Simulating liquidity stress in the derivatives market with Marco Bardoscia, Nicholas Vause and Michael Yoganayagam (2021) - Journal of Economic Dynamics and Control [Applications: The FPC's assessment of the risks from leverage in the non-bank financial system - Financial Stability Report November 2018, Building the resilience of market-based finance - Financial Stability Report August 2020, and The role of non-bank financial intermediaries in the dash for cash in sterling markets - Financial Stability Paper No.47 (2021)]

Counterparty choice in the UK credit default swap market: An empirical matching approach with Jun Sung Kim, Bonsoo Koo and Zijun Liu (2020) - Economic Modelling

Central counterparty auction design with Xin Li and Daniel Marszalec (2020) - Journal of Financial Market Infrastructures [Media/Citation:]

Multiplex network analysis of the UK OTC derivatives market with Marco Bardoscia and Ginestra Bianconi (2019) - International Journal of Finance & Economics [Media/Citation:]

Systemic Illiquidity in the Interbank Network with Sam Langfield, Zijun Liu and Tomohiro Ota (2019) - Quantitative Finance

The impact of de-tiering in the UK's large value payment system with Evangelos Benos and Pedro Gurrola-Perez (2017) - Journal of Financial Market Infrastructures

The small bank failures of the early 1990s: another story of boom and bust with Kushal Balluck, Artus Galiay, and Glenn Hoggarth (2016) - Bank of England Quarterly Bulletin

Working Papers

Central bank swap lines: micro-level evidence with Philippe Mueller, Ganesh Viswanath-Natraj and Junxuan Wang (2022) [Media/Citation: Welcoming remarks by Fed Governor Jerome Powell during the 1st inaugural conference on the "International Roles of the U.S. Dollar"]

Collateral cycles with Evangelos Benos and Angelo Ranaldo (2022)

Non-Standard Errors with 342 co-authors from 34 countries and 207 institutions (2021)

The COVID-19 Auction Premium with Maria Flora and Roberto Reno' (2021)

Full Payment Algorithm with Marco Bardoscia, Nicholas Vause and Michael Yoganayagam (2019)

Bank capital regulation and derivatives clearing with Jonathan Acosta-Smith and Francesc Rodriguez-Tous (2018) [Media/Citation: ISDA and BIS Report] [Price awarded at the 27th finance forum: Best paper on Regulation]

Old Working Papers

Optimization under Model Uncertainty Job Market Paper (2014)

Genetic Algorithms on Portfolio Optimization (2012)

In Progress

Double marginalisation in OTC bond markets with Evangelos Benos and Simon Jurkatis (2022)