Senior Lecturer in Finance, Cass Business School
Research Associate, Financial Markets Group - London School of Economics
This is my personal homepage. See also my official Cass homepage.
Cass Business School
106 Bunhill Row
London EC1Y 8TZ, UK
tel: +44 (20) 7040 5106
Corporate finance, banking, credit risk
"Creditor Coordination, Liquidation Timing, and Debt Valuation."
Older unpublished work
Journal of Financial and Quantitative Analysis, October 2011, 46(5), 1407-1436. [Paper] [Paper on SSRN] [Paper at Cambridge Journals Online]
"A Structural Model of Debt Pricing with Creditor-Determined Liquidation," with Hassan Naqvi.
Journal of Economic Dynamics and Control, May 2010, 34(5), 951-967. [Paper] [Paper on SSRN]
"Recovery Rates, Default Probabilities, and the Credit Cycle," with Carlos González-Aguado.
Journal of Banking and Finance, April 2010, 34(4), 713-723. [Paper] [Paper on SSRN] [Presentation] [Sample Matlab Code] [Web appendix]
"Deposit Insurance and Money Market Freezes," with Javier Suárez.
Journal of Monetary Economics, January 2010, 57(1), 45-61. [Paper] [Paper on SSRN] [Presentation] [Non-technical description on VoxEU ]
"Estimating Structural Models of Corporate Bond Prices," July 2007.
Check out my page about useful software for economists. I also have a page on which I put up some code that I wrote.