Research

Refereed Journal Articles

Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality, forthcoming Financial Research Letters (with F. Goméz, N. Quiceno).
Empirical evidence of jump behaviour in the Colombian intraday bond market, ODEON, 24, November 2023, pp 119-147 (with N. Romero, S. Velez).
EPPO ontology: a semantic-driven approach for plant and pest codes representation, Frontiers in Artificial Intelligence, Sec. AI in Food, Agriculture and Water, Volume 6, June 2023 (with Ayllón-Benitez, A., Bernabé-Diaz, J.A. and others)
A Segmented and observable yield curve, Journal of Central Banking Theory and Practice, Volume 10(2), May 2021, pp 179-200 (with J.F. Peña, C. Rodriguez). Complementary material.
Measuring the effectiveness of volatility auctions, International Review of Economics & Finance, Volume 70, November 2020, pp 566-581 (with D. Agudelo and S. Preciado)..
Academic certification using blockchain: permissioned versus permissionless solutions, Journal of the British Blockchain Association, July 2020 (with O. Giraldo).
Does the market model provide a good counterfactual for event studies in finance? Financial Markets and Portfolio Management, March 2019, Volume 33, Issue 1, pp 71–91.
Quantitative management of financial risk in supplying a health plan, Revista Gerencia y Políticas en Salud, 2015: 14(28), pp 1-12 (in Spanish)
Default risk in agricultural lending, the effects of commodity price volatility and climate, Agricultural Finance Review, 74 (4), October 2014, pp 501-521. (with K. Garcia).
Measuring and testing for the systemically important financial institutions, Journal of Empirical Finance, Volume 25, January 2014, Pages 1–14, (with S. Ferrari)
Confidence sets for asset correlations in portfolio credit risk, Revista de Economía del Rosario, Vol. 15, No. 1, 2012
Portfolio choice under local industry and country factors, Financial Markets and Portfolio Management, 24(4), December 2010
Measuring the systemic importance of financial institutions using market information, in Financial stability review, National Bank of Belgium, June 2010, pp. 127-141 (with S. Ferrari)
Uncertainty in asset correlation for portfolio credit risk: the shortcomings of the Basel II framework, Proceedings CREDIT Conference Credit Risk, Financial Crises, and the Macroeconomy, Vol. 2, Venice, Italy, September 2009.
X-efficiency in Colombia’s Banking Industry, Desarrollo y Sociedad, September 2001, 48, pp. 1-52, (in Spanish)

Works in progress

Publications in books and blogs.

Fintech desde la Academia (2022) in Universo Fintech. Editor Pedro Gaviria
Blockchain para las empresas (2021) in Transformación digital en las organizaciones, Editorial Universidad del Rosario (with V. Gauthier and J. Ramirez)
Experiencia y expectativas de las universidades colombianas con las tecnologías Blockchain (2019), in Blockchain en las Universidades, Informe TIC 360º, Crue Universidades Españolas.
Measuring the systemic importance of financial institutions using market information, in Financial stability review, National Bank of Belgium, Junio 2010, pp. 127-141 (with S. Ferrari).
Uncertainty in asset correlation for portfolio credit risk: the shortcomings of the Basel II framework, Proceedings CREDIT Conference Credit Risk, Financial Crises, and the Macroeconomy, Vol. 2, Venecia, Italia, Septiembre 2009.
Eficiencia, competencia y márgenes de intermediación en El sector financiero de cara al siglo XXI, ANIF, Noviembre de 2002, Tomo 1, (with R. Steiner).
Otra mirada al margen de intermediación financiera, Separata Especial, Portafolio-DNP, Septiembre 2001, (with N. Salazar).

Visiting Positions, talks and conferences.

Encuentro Colombo Mexicano de Finanzas Cuantiativas, Universidad de los Andes, Bogota, December 2023.
II Regional Conference on Payments and Financial Market Infrastructures, CEMLA, Bogota, September 2023.
Networks in Modern Financial and Payments Systems, Bank of Canada, Ottawa, June 2023.
Workshop Finanzas, Universidad de los Andes, CESA, Universidad Javeriana, Universidad del Rosario, March 2022.
Seminario CIEF, Universidad Eafit, February 2022.
Dimensionality Reduction and Inference in High-Dimensional Time Series Maastricht University, July 2021,poster,breakout session.
2nd Blockchain International Scientific Conference, Edinburgh, March 2020
Scipy Latam, Universidad de los Andes, October, 2019.
Red Arca, Universidad del Rosario, October 2019.
Universidad del Rosario, August 2019.
Banco de la Republica, July 2019.
Third International Congress on Actuarial Science and Quantitative Finance, Manizales, June 2019 (Local Organizer and Scientific Committee).
Financial Management Association, FMA Global Conference, Bogota, May 2019 (discussant).
Blockchain Colombia Meetup, Vivelab, May 2019.
Universidad Sergio Arboleda, April 2019.
12th International Conference on Computational and Financial Econometrics, Pisa, December, 2018.
Hypeledger Global Forum, Basel, December, 2018
BioHackathon, Paris, November, 2018.
Blockchain Summit LATAM, Bogota, October, 2018 (attending).
Universidad EAFIT, Medellin, August 2018.
Uconn Business School, Storrs, November, 2017.
NYU Stern FinTech Conference 2017, New York City, November, 2017 (attending).
JupyterCon, New York City, August 2017 (attending).
Visiting Scholar, Uconn Business School, Storrs, July-December, 2017.
Longevity Risk, Bogota, May, 2017 (Organizer).
Fedesarrollo, Bogota, April, 2017.
CESA School of Business, Bogota, February, 2017.
Colombian Stock Exchange (BVC), Bogota, December 2016.
Vlerick Business School, Brussels, October, 2016.
Séminaire Bachelier, Institut Louis Bachelier, Paris, October 2016.
XXIV Finance Forum, Madrid, July 2016.
Second International Congress on Actuarial Science and Quantitative Finance, Cartagena, June 2016 (Local Organizer).
Visiting Scholar, Federal Reserve Bank of St. Louis, January 2016.
XII Salón del Inversionista “Métodos cuantitativos para la toma de decisiones de inversión”, Medellín, October 2015.
Universidad EAFIT, Medellin, March 2015.
Visiting Scholar, Federal Reserve Bank of St. Louis, January 2015.
8th International Conference on Computational and Financial Econometrics, Pisa, December 2014.
First International Congress on Actuarial Science and Quantitative Finance, Bogota, June 2014 (Local Organizer).
IMEMC Conference, Universidad Nacional de Colombia, Bogotá, March 2014.
7th International Conference on Computational and Financial Econometrics, London, December 2013.
Universidad Sergio Arboleda, October, 2013
ICESI, Cali, April 2013,
ECARES/ULB, Brussels, December, 2012.
6th International Conference on Computational and Financial Econometrics, Oviedo, December 2012.
Actuarial Wednesdays, Universidad del Rosario-Asociación Colombiana de Actuarios, October 2012.
Mathematical Finance Seminar, Universidad de los Andes, October 2012.
5th Financial Risk International Forum Systemic Risk, Paris, March, 2012.
ECARES/ULB, Brussels, March, 2012.
Banco de la Republica de Colombia, Bogotá, November, 2011.
LACEA-LAMES 2011, Santiago, November, 2011.
11th Annual FDIC/JFSR Bank Research Conference, Washington D.C., September 2011.
Visiting Scholar, Federal Reserve Bank of St. Louis, March 2011.
Midwest Finance association, Chicago, March 2011.
4rd International Conference on Computational and Financial Econometrics, London, December 2010.
Faculty of Economics, Universidad del Rosario, August 2010
3rd International Conference on Computational and Financial Econometrics, Limassol, October 2009.
CREDIT Conference, Venice, September 2009.
VU, Amsterdam, April, 2009.
ENTER Jamboree, London February, 2009.
Factor Structures for Panel and Multivariate Time Series Data, Maastricht, September, 2008.
2nd Annual Doctoral Workshop at ULB, Brussels, May, 2008.
International financial Research Forum, Paris, March, 2008. (Poster)
Workshop on Multivariate Time Series Modelling, UCL, Louvain-La-Neuve, May, 2007.
Visiting PhD student (January-April), INSEAD, Fontainebleau, 2007

Working Papers

Racial and spatial interaction for neighborhood dynamics in Chicago, Facultad de Economía, Documento de trabajo. 189, June 2016, pp. 30 (with A. Badel and C. Rodriguez).
Network externalities across financial institutions, Facultad de Economía, Documento de trabajo. 184, February 2016, pp. 23 (with J.S. Ordoñez and S. Preciado).
Default risk in agricultural lending: the effects of commodity price volatility and climate, IDB working paper series no. No. IDB-DP 362
A Network model of systemic risk: identifying the sources of dependence across institutions, October, 2012, (with J.S. Ordoñez), Universidad del Rosario, Faculty of Economics, working paper, no. 121.
Administración de riesgos en los Fondos Privados de Pensiones, Archivos de Economía, No. 351, Departamento Nacional de Planeación (DNP), Bogotá, Colombia, Enero 2009, in Spanish.
El comercio internacional y la productividad total de los Factores en Colombia., Archivos de Economía, No. 307, Departamento Nacional de Planeación (DNP), Bogotá, Colombia, Enero 2006, (with J.R Perilla y O. Gracia, in Spanish).
Un Modelo Gravitacional para la Agenda Interna., Archivos de Economía, No. 296, Departamento Nacional de Planeación (DNP), Bogotá, Colombia, Enero 2005, (with Lozano C., Campos, J.S. , in Spanish).
El PIB potencial y la brecha del PIB en Carta Financiera, ANIF, Enero de 2005, (with J. Rodriguez).
Yet another lagging, coincident and leading index for the Colombian Economy, Archivos de Economía, No. 233, Departamento Nacional de Planeación (DNP), Bogotá, Colombia, September 2003.
Efficiency, competition and intermediation margins in The Financial Sector readiness toward the twenty-first century, ANIF, November de 2002, Volume 1, (with R. Steiner, in Spanish).
Otra mirada al margen de intermediación financiera, Separata Especial, Portafolio-DNP, Septiembre 2001, (with N. Salazar).