Dr Miriam Marra

'Dr Miriam Marra

Dr Miriam Marra

  • Lecturer in Finance
  • Programme Director: MSc Investment Banking and Islamic Finance

Contact details

Profile & Expertise

Miriam is a Lecturer in Finance at the ICMA Centre since October 2012. Prior to joining the ICMA Centre, Miriam was a Teaching Fellow at Warwick Business School where she completed her PhD in Finance in December 2012. She holds also a BSc and an MA in International Economics from the University of Tor Vergata (Rome), and an MSc in Economics and Finance from Warwick Business School.

Her research interests are primarily in the areas of Asset Pricing and Liquidity, Credit Risk, Empirical Finance, Financial Crisis and Contagion, and Market Microstructure. Miriam has presented her research work in several workshops and conferences in the UK and overseas. Her current work is focused on: detecting and explaining cross-market illiquidity commonalities and liquidity effects on credit default swaps and synthetic CDOs; testing structural models for default risk and market microstructure models in debt and credit derivative markets; and investigating issues related to tail risk and investors’ uncertainty in financial markets.

Key publications, books, research & papers

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Article

Explaining co-movements between equity and CDS bid-ask spreads

Marra, M. (2017) Explaining co-movements between equity and CDS bid-ask spreads. Review of Quantitative Finance and Accounting, 49 (3). pp. 811-853. ISSN 1573-7179 doi: 10.1007/s11156-016-0609-6

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In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads.

Dr Miriam Marra

Dr Miriam Marra

Programme Director: MSc Investment Banking and Islamic Finance

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Article

The impact of liquidity on senior credit index spreads during the subprime crisis

Marra, M. (2015) The impact of liquidity on senior credit index spreads during the subprime crisis. International Review of Financial Analysis, 37. pp. 148-167. ISSN 1057-5219 doi: 10.1016/j.irfa.2014.11.016

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This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody’s AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.

Dr Miriam Marra

Dr Miriam Marra

Programme Director: MSc Investment Banking and Islamic Finance

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Events

Our faculty regularly attend a wide range of events across the globe to share their research and expertise, as well as meeting new students. Use the map below to find past and upcoming events in your region.

Taught modules

Fixed Income and Equity Investments

Fixed Income and Equity Investments deals with the valuation of fixed income and equity securities. The module focuses on the basic characteristics of these securities and the strategies used for estimating their fundamental value and assessing their risk. Its primary aim is to discuss how certain…

Fixed Income and Equity Investments deals with the valuation of fixed income and equity securities. The module focuses on the basic characteristics of these securities and the strategies used for estimating their fundamental value and assessing their risk. Its primary aim is to discuss how certain…

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Financial Engineering

Designed to combine theoretical and practical approaches to exotic derivatives in different markets: equity, FX, interest rates and credit. The objectives of the module include providing you with an overview of the exotic products in different markets, familiarising you with the different pricing…

Designed to combine theoretical and practical approaches to exotic derivatives in different markets: equity, FX, interest rates and credit. The objectives of the module include providing you with an overview of the exotic products in different markets, familiarising you with the different pricing…

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News & Media Appearances

Our faculty feature in radio, tv and newspaper segments across the globe using their research and expertise to comment on current events. Find the latest media appearances using the filters below.

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Selected research grants

Debt and default in medieval England

The Economic History Society has awarded a Carnevali Small Research Grant worth £3,000 to Dr Tony Moore, a medieval economic historian, and Dr Miriam Marra, a finance academic specialising in credit risk, both academics teaching at the triple-accredited  Henley Business School‘s ICMA Centre.

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