News:

Our Staff Analytical Note "Stress Testing Central Counterparties for Resolution Planning" is published in March 2025 and featured at the Bank of Canada — Financial System Hub. The Bank of Canada completed last year its first resolution plan for the Canadian Derivatives and Clearing Corporation (CDCC)*. To develop a credible CCP resolution strategy, it is essential to estimate the magnitude of potential losses that the Bank of Canada would likely have to temporarily manage if the CCP were to fail. For this purpose, we apply a methodology based on extreme value theory (EVT) to simulate the credit losses resulting from extreme scenarios where multiple CCP clearing members are assumed to default at the same time. In this Staff Analytical Note, we explain this methodology used for estimating the financial resources that may be needed to successfully resolve CDCC, as well as we provide an overview of CDCC’s own credit risk and default management resources. 

*CDCC is a systemically important CCP that provides the central clearing service for exchange-traded derivatives traded on the Montréal Exchange, and over-the-counter Canadian fixed-income transactions and equity options.

The BCBS-CPMI-IOSCO  Final report on "Transparency and responsiveness of initial margin in centrally cleared markets - review and policy proposals" is published in January 2025. It has been a great pleasure to work closely with peers at other prominent regulatory bodies and contribute actively to the finalization of this work, which will be pivotal in determining how regulators, CCPs, and the financial institutions will be monitoring the procyclicality in CCP initial margin models. The ten policy proposals in the report aim to increase the resilience of the centrally cleared ecosystem by improving participants’ understanding of CCPs’ initial margin calculations and will help their liquidity preparedness against potential future margin requirement increases.

I recently presented our research, "Margin Procyclicality Metrics Design, Target Setting and Monitoring for Central Counterparties" (co-authored with Hiru Rodrigo) at the 2024 Annual Meetings of Canadian Economics Association. This work aims to contribute to the design of novel analytical approaches for CCPs (and regulators) to comprehensively characterize, measure and disclose procyclicality of initial margin models, as well as to set and monitor procyclicality targets.

I am recently invited to serve at the scientific committee for the 2024 Annual Meetings of Canadian Economics Association for Fintech & FMI sessions, and to become a member of the Canadian Financial Economics Network (CFEN) Study Group. 

The BCBS-CPMI-IOSCO Consultative report on "Transparency and responsiveness of initial margin in centrally cleared markets" is published in January 2024. It has been a great pleasure to work closely with peers at other prominent regulatory bodies and contribute actively to this work. The ten policy proposals in the report aim to increase the resilience of the centrally cleared ecosystem by improving participants’ understanding of CCPs’ initial margin calculations and potential future margin requirements. 

I am recently nominated for a 2023 Bank of Canada Award of Excellence for an ambitious inter-departmental project collaboration on the resolution of central counterparties (CCPs). I have provided subject-matter expertise on derivatives and central counterparties including adapting a large regulatory CCP dataset to the methodology used for stress testing.

My Bank of Canada Staff Discussion Paper "Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters" is published in 2023. Regulators need to provide effective margin procyclicality guidance, and central counterparties (CCPs) must design and calibrate their procyclicality frameworks and margin systems appropriately. To serve these needs, I provide in this paper a novel conceptual tool kit for regulators and CCPs. The tool kit allows them to see a margin system’s performance in procyclicality as well as in other competing objectives—such as margin coverage and cost of collateral—all in one place and for any combination of calibrations of the key procyclicality parameters. This feature lets regulators set outcomes-based procyclicality targets achievable by CCP margin models and anti-procyclicality tools. Furthermore, I highlight in the paper that for the anti-procyclicality tools to be effective the focus should be on the correct key margin system parameters in determining procyclicality.

The Bank of Canada Staff Discussion Paper "Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data" is published in 2023. Being formally part of the project I have provided to the Climate Analysis Team my expertise on CCPs, derivative exposures, and interconnectedness. This also included integrating our in-house CCP initial margin simulator to the project's system-wide stress testing and agent-based modelling framework. 

Our project on the systemic risk assessment of major trading groups in interest rate derivatives and making use of EMIR Trade Repository derivatives dataset (co-authored with Ronald Anderson, LSE) is selected for the European Systemic Risk Board (ESRB)'s EMIR Bridge Programme under the theme “Cyclical features of derivatives markets and implications for financial stability”. It is being hosted by the ECB’s Monetary Analysis division under its Monetary Policy department.

I recently gave a talk on my research at a Bank of Canada seminar in 2018.

I have recently participated in the AFA/AEA Conference in Philadelphia, PA in 2018.

I recently gave a talk on my research at a Federal Reserve Board seminar in 2017.

I presented my research at the workshop on "Modelling Risk Amplification Mechanisms for Macro-prudential Policymaking"  at the Bank of England on December 8, 2016.

I have recently co-organized and co-chaired a highly topical conference on “Systemic Risk in Derivatives Markets”, held on October 14, 2016 at the London School of Economics and Political Sciences. The conference succeeded in bringing together academics and policy makers to discuss recent theoretical and empirical advances in the understanding of systemic risk in derivatives markets.

I recently presented my research at the Northern Finance Association  (NFA) Annual Meeting in Mont-Tremblant, QC in 2016.

I have been appointed as an external expert/consultant for the European Systemic Risk Board (ESRB) Secretariat, housed under the European Central Bank, and I have been providing my expertise and conducting research on the EMIR Trade Repository derivatives dataset since July 2016 with the aim to contribute to the academic literature, as well as to have positive impact on the macro-prudential policy measures influenced by the ESRB.

I have recently completed a visit at M.I.T. Sloan School of Management, hosted by Prof. Andrew W. Lo, during the Spring/Summer 2015 semester. During this visit I also presented my research at the M.I.T. Finance Brownbag Seminar as well as at the Research Meeting of Consortium for Systemic Risk Analytics (CSRA) hosted by M.I.T..

I recently presented my research at the American Economic Association (AEA) Annual Meeting in Boston, MA in 2015.