I am a fifth year PhD student in Economics at Carleton University on the 2024-2025 job market. I am specializing in econometrics, financial econometrics, and financial risk management. My research focuses on identification robust estimation methods valid for out-of-sample inference, and on modelling tail risk of financial and macroeconomics variables.
I have been teaching assistant for many quantitative courses, including advanced PhD-level econometrics courses, and research assistant. Moreover, I have gained valuable experience working part-time for the Government of Canada in various roles and departments. Currently, I am employed at the Treasury Board of Canada Secretariat as Economist and Data Analyst.
I am available for interviews. Please feel free to contact me using the email below or the social media links.
PhD in Economics, expected 2024
Carleton University
M.Sc. in Finance and Insurance (Honours), 2019
University of Calabria
B.Sc. in Statistics, 2016
University of Calabria
Co-moments of asset returns play a major role in financial contagion during crises. We study the properties of a particular specification of the generalized bivariate normal distribution which allows for co-volatility and co-skewness. With this probability distribution, formulae for single-name and exchange options can be evaluated quickly since they are based on one-dimensional integrals. We provide a very precise approximation formula for spread option prices and derive the corresponding greeks. We perform a day-to-day re-estimation of the probability distribution on a dataset of WTI vs Brent spread options, showing the ability of this specification to capture the salient empirical features observed in the market. Finally, we show the impact of co-movements on portfolio risk management.