Work Experience

Monetary and Capital Markets Department, Internal Monetary Fund (IMF)

(August 2018-)

Financial Sector Expert

  • Coauthored "Bank Dollar Funding and Financial Stability" chapter in the Oct 2019 Global Financial Stability Review (GFSR)

  • Coauthored "Downside Risks to House Prices" chapter in the Apr 2019 Global Financial Stability Review (GFSR)

  • Contributed to the construction of financial condition indices and asset pricing models currently used in the Global Financial Stability Review (GFSR)

  • Analyzed systemic risk in the Hong Kong housing market as part of the Hong Kong SAR FSAP team

Systemic Risk and Financial Institutions Division, European Central Bank (ECB)(August 2017-July 2018)

Research Analyst / Expert 

  • Proposed and constructed a composite index of systemic risk to predict negative GDP shocks using time-varying factor models and quantile regressions

  • Measured interbank contagion risk by applying agent-based network models to bilateral exposures between euro area banks

  • Modeled the term structure implications of negative interest rate policy

Financial Stability Surveillance Division, European Central Bank (ECB)

(2016 – 2017)

PhD Trainee

  • Quantified the effects of negative interest rates on bank profitability and systemic risk

  • Identified the determinants of bank mergers through an endogenous matching model

  • Analyzed the effects of loan market concentration on firm loan rates

Research Department, Deutsche Bundesbank

(2015 – 2016)

PhD Research Assistant

  • Modeled and estimated the impact of interbank market frictions on firm loan supply

  • Conducted policy analysis on banks’ strategic choice of network position

  • Designed machine learning algorithms for the harmonization of supervisory data

© 2018 Andrea Deghi. All rights reserved