I am a Research Fellow of Nuffield College, University of Oxford. I am working with Robert F. Engle (New York University Stern School of Business) on a global common volatility (COVOL) model for measuring and hedging global risks, and with David F. Hendry (Nuffield College, University of Oxford) on the impact of climate change news on the global COVOL of the oil and gas industry.
My research interests lie in the fields of Financial Econometrics, Financial Economics, Climate Econometrics, and their intersection. I am studying the events that shake global financial markets and the real economy, by developing statistical models for measuring and managing global shocks to financial asset prices. Given the global nature of climate change, I am working on novel methodologies for assessing the materiality of climate-related risks, in particular carbon transition risk, and their implications to global financial stability and prudential policy.