Articles
Bank insolvency risk and time-varying Z-score measures (with Laetitia Lepetit), Journal of International Financial Markets, Institutions & Money (2013)
We compare the different existing approaches to the construction of time-varying Z-score measures, plus an...
Uncertainty and Switching in the Mortgage Market (with Celine Gondat-Larralde), Applied Economics (2013)
We examine when it might be optimal for borrowers to switch providers of debt products...
Does uncertainty matter for loan charge-offs? (with Laetitia Lepetit and David G. Dickinson), Journal of International Financial Markets, Institutions & Money (2012)
Using a stylized real options model, we show that discretion over the timing of charging...
International tax arbitrage and residence vs. source-based capital income taxation, Research in Economics (2012)
Using a two-country general equilibrium framework with heterogeneous agents and uncertainty, we examine how countries'...
International tax arbitrage, currency options and put-call parity conditions, Journal of International Financial Markets, Institutions & Money (2012)
Using a finite-horizon general equilibrium model with uncertainty and money, we characterize situations where tax...
Unpublished Papers
Bank Equity Involvement in Industrial Firms and Bank Risk (with Laetitia Lepetit), Available at SSRN: http://ssrn.com/abstract=1713223 (2012)
The regulatory framework in Europe does not prevent banks from taking large or controlling equity...
Bank Insolvency Risk and Z-Score Measures: A Refinement, Available at SSRN: http://ssrn.com/abstract=1753735 (2012)
We re-examine the probabilistic foundation of the link between Z-score measures and banks' probability of...
Loan Loss Provisioning Behavior, Income Smoothing and the Role of Banks' Ownership Structure (with Vincent Bouvatier and Laetitia Lepetit), Available at SSRN: http://ssrn.com/abstract=2133345 (2012)
We empirically examine whether the way a bank might use loan loss provisions to smooth...
Monetary, financial and fiscal stability in the East African Community: ready for a monetary union? (with Laetitia Lepetit and Clovis Rugemintwari), Available at SSRN: http://ssrn.com/abstract=2163040 (2012)
We examine prospects for a monetary union in the East African Community (EAC) by developing...