Published Papers:

Screening Using a Menu of Contracts: A Structural Model for Lending Markets   [Slides], with Alberto Polo  and Quynh-Anh Vo 

    Journal of Financial Economics  (2025)   

Abstract:   When lenders screen borrowers using a menu, they generate a contractual externality by making the composition of their competitors’ borrowers worse. Using data from the UK mortgage market and a structural model of screening with endogenous menus, this paper quantifies the impact of asymmetric information on equilibrium contracts and welfare. Counterfactual simulations of a social planner problem show that, because of the externality, there is too much screening along the loan-to-value dimension. The deadweight loss, expressed in borrower utility, is equivalent to an interest rate increase of 30-60 basis points (a 15-30 percent increase) on all loans.

Working papers: 

Screening Using a Menu of Contracts in Imperfectly Competitive Markets with Adverse Selection  [Slides]  

Reject and Resubmit, Review of Financial Studies 

Abstract: I develop a model of screening with menus using a demand system that nests various degrees of competition, from perfect competition to monopoly. I show the existence of a pure strategy Nash equilibrium and characterise it in closed form. I then analyse a contractual externality and build a sufficient statistic to test for its empirical relevance. I also use the model to study credit market policies in the presence of screening. I show that contrary to conventional wisdom, increasing capital requirements, increasing the Federal Reserve rate, or decreasing competition can increase lending.  I provide an empirical application in the context of consumer credit and show that, due to the externality, the menus contain too many maturity options. Model parameters are recovered using a linear regression of prices on quantities controlling for contract market shares.

  The cost and shadow cost of credit, with Simone Lenzu and Francesco Manaresi

Revise and Resubmit, Review of Corporate Finance Studies   

Abstract: Using a novel micro-level dataset on firms' production and financing decisions, we estimate the distribution of firm-specific financial wedges in capital accumulation due to binding borrowing constraints-the shadow cost of credit-and compare these to observed market price of credit-the borrowing rate. We find that shadow costs are significantly higher, more dispersed, and more sensitive to variations in credit risk factors than borrowing rates. Our analysis also reveals a high sensitivity of firms' investment to shadow costs, indicating that credit rationing, rather than elevated borrowing costs, is the primary channel through which credit market frictions distort investment policies and capital allocation, particularly for small and medium enterprises. 

Informal Seniority, [Slides] with Theo Cotrim Martins and Bernardo Ricca

Presented at: NBER Corporate Finance 2026, SITE 2026,  AFA 2026, Philly Fed 2025, MFA 2026, Berkeley Haas, HEC, Sciences Po,  LSE, TSE.

Abstract:   We analyse empirically and theoretically a setting with non-exclusive loan contracts and default externalities in which repayment priority emerges endogenously. We document that formal seniority among retail loans is rarely enforced. Instead, borrowers in financial trouble prioritize repayment of the loan with the highest continuation value, generating informal seniority. Lenders compete for this priority through relationship benefits such as credit limits, interest rates, rewards and cross-selling. We show that such competition can lead to either over- or underprovision of relationship benefits, implying that bankruptcy policies requiring equal recovery across lenders may lower welfare. In the credit card market, our sufficient statistic approach implies that credit limits one year after origination are 7 percent below the first best and would fall by an additional 2.5 percent under equal recovery. 

Work in progress: 

Bankruptcy in Equilibrium and Ex-ante Effects, with Simone Lenzu and Jimmy Martinez-Correa

Abstract:  Most of the existing empirical studies analyzing the real effects of bankruptcy reforms focus on firms already in a default state or undergoing liquidation. Using detailed microdata from Denmark and quasi-experimental variation from a major bankruptcy reform, we estimate the causal effects of increased creditor empowerment on the (anticipatory) behavior of firms far from financial distress. By integrating these estimates into a structural model, we quantify the welfare costs of moral hazard in lending markets (effort provision and risk shifting) and explore the general equilibrium impacts of various bankruptcy reforms, offering new insights into their broader economic implications. 

Markups in the Collateralized Loan Market, with Melina Papoutsi, Daniel Paravisini and Veronica Rappoport

Abstract: Using data on the universe of European corporate loans, we document a positive relationship between collateral and interest rate after controlling for borrower characteristics. This empirical relationship is consistent with lenders refusing to offer low collateralized loans to riskier borrowers based on characteristics unobservable to the econometrician. Motivated by this stylized fact, we develop a new structural model of lending to get estimates of demand elasticities, marginal cost of lending and collateral recoup rate.  Our identification strategy is robust to lenders having private information about borrowers due to, for instance, relationship lending. We find a demand elasticity of 1.7 and low collateral recoup rates (10 percent).

Maturity Markups

Abstract: When increasing interest rate is unprofitable because it triggers too much default, lenders can extract borrower surplus by extending the loan's maturity. Traditional empirical industrialization models do not capture this channel. This paper develops a model with endogenous maturity and estimates the interest rates and maturity distortions in the market for car loans.  

Formal Loans to the Informal Sector, with Rebecca DeSimone

Abstract: We use proprietary data from a large bank in Equator to study lending to SME in a context where there is little hard information available. We exploit exogenous variation in the incentive payment made to loan officers and analyze incentives to originate and monitor loans.