Dr. Gerardo Ferrara works as a senior advisor within the Financial Stability, Strategy and Risk (FSSR) Directorate of the Bank of England. He currently represents the Bank for various domestic and international workstreams. In addition, he leads analyses on issues related to policy discussions by using transactional level data (i.e., EMIR, SMMD, and MIFID 2 data) uniquely available to a supervisory authority. His research interests lie in the areas of market structure, market microstructure, market infrastructures, macroprudential and microprudential policies and their interactions, OTC & ETD derivatives, and repo markets. His work has been published in various peer‐reviewed journals, including, but not limited to, Journal of Finance, Journal of Financial Stability, Journal of Economic Dynamics & Control, International Journal of Finance & Economics, and Quantitative Finance. Prior to joining the Bank of England, he also worked in the private sector as a quantitative analyst, examining issues related to various areas, including asset management, risk management, and policy implementation.
‘There is all the difference in the world between paying and being paid’: margin calls and liquidity demand in volatile commodity markets - January 2023
Market fragility in the pandemic era - September 2020
Margin call! Cash shortfall? - January 2020
CCP porting, are there lessons to be learnt from elsewhere?- May 2019
Bank liquidity requirements: How to get more bang for the buck - April 2016
Modelling fire sale contagion across banks and non-banks, with Fabio Caccioli and Amanah Ramadiah, Journal of Financial Stability (2024)
The COVID-19 Auction Premium, with Maria Flora and Roberto Renò, Conditionally accepted at the Journal of Financial Services Research (2023)
Non-Standard Errors, with 342 co-authors from 34 countries and 207 institutions, Journal of Finance (forthcoming), 2023
Counterparty choice in the UK credit default swap market: An empirical matching approach, with Jun Sung Kim, Bonsoo Koo and Zijun Liu, Economic Modelling (2021)
Simulating liquidity stress in the derivatives market, with Marco Bardoscia, Nicholas Vause and Michael Yoganayagam, Journal of Economic Dynamics and Control (2021)
Central counterparty auction design, with Xin Li and Daniel Marszalec, Journal of Financial Market Infrastructures (2020)
Multiplex network analysis of the UK OTC derivatives market, with Marco Bardoscia and Ginestra Bianconi, International Journal of Finance & Economics (2019)
Systemic Illiquidity in the Interbank Network, with Sam Langfield, Zijun Liu and Tomohiro Ota, Quantitative Finance (2019)
The impact of de-tiering in the UK's large value payment system, with Evangelos Benos and Pedro Gurrola-Perez, Journal of Financial Market Infrastructures (2017)
