Research
Working Papers
Presentations
2025 Colorado Finance Summit, 2025 ESADE Spring Workshop, 2026 Midwest Finance Association, 2026 Young Scholars Finance Consortium at Texas A&M, 2026 Consortium on Asset Management, 2026 International Conference on Sovereign Bond Markets, 2026 LAPE-FINEST Spring Workshop, University of Notre Dame, BI Norwegian Business School, Northern Finance Association (NFA) (upcoming), BIS-World Bank-Banxico Tenth Public Investors Conference (upcoming), EUROFIDAI-ESSEC Paris December Finance Meeting (upcoming), and 7th Annual RCF-ECGI Conference (upcoming).
Abstract
With U.S. government debt exceeding $36 trillion, the management of interest rate risk on the Treasury’s fixed-rate liabilities has become a first-order fiscal question. We show that the Treasury, while institutionally sophisticated in channeling borrowing surprises into Treasury bills to preserve stable fixed-rate issuance, does not extend this capacity to managing the duration risk embedded in its fixed-rate debt portfolio. The Treasury absorbs fiscal shocks through bills while maintaining predictable longer-term issuance, and does not adjust duration supply in response to market signals, instead tilting toward maturities with the highest intermediation margins. The 2024–2025 buyback program targeted below-par bonds, freeing $21 billion in nominal fiscal capacity with no market-value gain for taxpayers. Exploiting staggered ESA 2010 adoption, we find core European countries reduced term spreads by 0.28 to 0.37 percentage points by managing duration risk.
Abstract
We develop a parametric-model-free triangular no-arbitrage methodology that recovers cross-country convenience term premia, differentials in bilateral term premia at the long end of the term structure, for seven currencies from cross-currency basis swaps. First, U.S. Treasuries no longer command a long-horizon convenience term premium against major reserve sovereigns: the ten-year term premium of Bunds over Treasuries averaged +31 basis points pre-GFC, -39 during the GFC, and -67 post-GFC; for JGBs, +37, -25, and -81. Second, inelastic U.S. fiscal duration drives U.S. convenience term premia through a preferred-habitat channel. Third, the cross-sectional average predicts the equally-weighted dollar basket twelve months ahead orthogonally to interest rate differentials.
Presentations
2024 Annual Meetings of the American Finance Association (AFA), 2024 European Finance Association (EFA), 2024 Northern Finance Association Annual Conference (NFA), Midwest Finance Association Conference (MFA), Young Scholars Nordic Finance Network Workshop (NFN), Alpine Finance Summit, Finance and Accounting Annual Research Symposium, Financial Engineering and Banking Society, BI Workshop on Uncertainty, NYU Stern School of Business, Miami Herbert Business School, Frankfurt School of Finance and Management, and BI Norwegian Business School
Abstract
Interest rate swaps should theoretically generate zero expected excess returns under risk-neutral pricing, yet systematically deviate from this principle. Fixed-rate receivers earn 2.74% annual excess returns (“Hairy premiums”) in U.S. dollar 10-year swaps, with similar magnitudes across G10 currencies. Applying novel triangular extraction methodology from cross-currency swaps, we decompose realized U.S. relative premiums into expected and unexpected components. Expected premiums explain 67.1-77.1% of realized variance and significantly differ from zero, demonstrating markets expect these deviations ex-ante. We attribute expected premiums to market incompleteness: absent long-term government floating-rate notes and binding shorting constraints prevent static replication, forcing costly dynamic hedging. Forecast errors reveal systematic monetary policy misinterpretation.
New4. Triangular Pure Parity Deviations
Presentations
Northern Finance Association (NFA) (upcoming), and Midwest Finance Association
3. Time-varying Market Segmentation: The Twin D’s and a Tale of Two Tails
(This paper subsumes the previous paper “Currency Crashes and Sovereign Defaults: Two Markets and One Tail Risk”)
Presentations
AFA Annual Meeting, EEA Annual Meeting, Bank of England: 8th International Conference on Sovereign Bond Markets, Anderson School of Management Brownbag Seminar, and SDU
Abstract
This paper documents striking market segmentation between sovereign credit default swaps (CDS) and far out-of-the-money (FOM) foreign exchange (FX) options markets. Despite pricing exposure to the same fundamental tail risks, sovereign default and currency crash, the “Twin Ds”, these markets exhibit persistent pricing discrepancies that cannot be explained by differences in contract specifications or risk exposures. We propose that this segmentation reflects institutional separation between market participants: credit specialists and FX traders operate in distinct spheres with limited information sharing during normal times. Using two cross-market trading strategies, one exploiting USD-denominated CDS versus FOM FX options spreads, and another using quanto CDS versus FOM FX options, we show that these pricing discrepancies yield substantial abnormal returns with Sharpe ratios exceeding 7.2. Crucially, both strategies generate consistent results despite differing in their treatment of depreciation size upon default, confirming that our findings reflect genuine market segmentation rather than risk compensation for variable depreciation magnitude. The abnormal returns collapse to zero during sovereign crises, when information sharing intensifies and pricing converges across previously segmented markets. Our analysis further reveals that information flows unidirectionally from CDS to FX options markets, supporting our institutional explanation. We exploit regulatory changes and cross-country variation in market structure to strengthen identification and rule out alternative explanations based on rational risk pricing. These findings have implications for understanding market structure effects on tail risk pricing and for detecting potentially destabilizing market fragmentation.
Presentations
EEA Annual Meeting, AFA Annual Meeting (Poster), Auckland Center’s Derivative Markets Conference, International Risk Management Conference, Virtual Derivatives Workshop, and Anderson School of Management Brownbag Seminar
Abstract
I show that a no-arbitrage consistent but costly collateral rental yield explains about two-thirds of the apparent standard Covered Interest Rate (CIP) violations. I proxy this yield with the difference between the risk-free and overnight index swap rates between the cross bilateral currencies and apply it to both short and long-term CIP violations. Further, the results suggest an important direct collateral channel through which costly collateralization explains CIP violations, independent of previously documented global risks and intermediary frictions.
1. Constraints of Collateralization and Regulation and the Law of One Price
Macro Financial Modeling Project Fellowship Award from the Becker Friedman Institute at the University of Chicago
Summary
I research collateralisation and bank regulatory changes in the post-2008 crisis period and their ability to explain large and persistent deviations from the law of one price observed in a number of arbitrage opportunities measured by cash-derivative bases across asset classes. The study attributes the inability to narrow these arbitrage opportunities to costs of participation which arise due to intermediaries facing collateral, leverage and liquidity constraints, resulting in limits-to-arbitrage. These constraints inhibit regulated dealers/investors’ ability to arbitrage bases across various asset classes and over time. Moreover, I go a step further and measure the magnitude of the effects of each binding constraint on the deviations from law of one price across time and in the cross section across several asset classes. This allows me to classify asset classes by the magnitude of impact received from the binding constraints. The asset class bases I look at are: Bonds-CDS, Treasuries-Interest Rate Swaps, Covered interest rate parity, Inflation rate swaps-TIPS, and Stock Index - Stock index swaps bases.
Publications
Georgievska A., Georgievska, Lj., Stojanovic, A. and Todorovic, N. (2011), “Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong?” in Robert W. Kolb (ed.), Sovereign Debt: From Safety to Default (by invitation), Wiley, ISBN 978-0-470-92239-2.
Georgievska A., Georgievska, Lj., Stojanovic, A. and Todorovic, N. (2008), “Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings”, Journal of Applied Statistics, 35(9), p. 1031-1051.