Dr Miriam Marra

'Dr Miriam Marra

Dr Miriam Marra

  • Lecturer in Finance

Contact details

Profile & Expertise

Miriam is a lecturer of Finance at the ICMA Centre Management 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 Repo Specialness

Dufour, A. , Marra, M. , Sangiorgi, I. and Skinner, F. S. (2019) Explaining Repo Specialness. International Journal of Finance & Economics. ISSN 1099-1158 (In Press)

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We study the dynamics of specialness for 1-day repo contracts on Italian government bonds over a 10-year sample period. As predicted by Duffie’s (1996) model, our results show that collateral supply is a significant factor for specialness. However, we enrich that finding by also showing a clear impact from repo liquidity, collateral riskiness, information uncertainty and short-selling proxies, revealing the importance of speculative bond demand for specialness. During crisis periods, bond fire sales and European Central Bank interventions also have a large impact on repo specialness. We identify recurrent patterns for specialness around bond auctions. Specialness increases steadily from the auction announcement date until a few days before the auction settlement date, which is consistent with overbidding behavior and a short selling of treasuries (via reverse repos) from primary dealers ahead of auctions.

Dr Alfonso Dufour

Dr Alfonso Dufour

Programme Co-Director of MSc Finance and Financial Technology (FinTech)

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Dr Miriam Marra

Dr Miriam Marra

Lecturer in Finance

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Dr. Ivan Sangiorgi

Dr. Ivan Sangiorgi

Undergraduate Exams Officer

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Article

Explaining CDS prices with Merton's model before and after the Lehman default

Gemmill, G. and Marra, M. (2019) Explaining CDS prices with Merton's model before and after the Lehman default. Journal of Banking and Finance. ISSN 1872-6372 (In Press)

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We examine whether CDS prices around the Credit Crisis can be explained with Merton’s model. First we invert the model with market prices to reveal skewed volatility smiles over the whole 2005-2012 period. Then we calibrate the model to pre-Crisis data in two novel ways that allow for skewness, one based on equity-index options (MEIV) and the other on the sensitivity of CDS prices to equity volatility (MSKEW). In out-of-sample forecasts both calibrations match the in-Crisis peak of prices, but the second is better at capturing the systematic component of prices thereafter. Average CDS prices remain at twice their pre-Crisis level long after that event; the MSKEW calibration demonstrates that this is due to extra idiosyncratic risks, which are important for some firms but have negligible impact on others.

Dr Miriam Marra

Dr Miriam Marra

Lecturer in Finance

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Article

Feeling able to say it like it is: a case for using focus groups in programme evaluation with international cohorts

Marra, M. and McCullagh, C. (2018) Feeling able to say it like it is: a case for using focus groups in programme evaluation with international cohorts. International Journal of Management Education, 16 (1). pp. 63-79. ISSN 1472-8117 doi: https://doi.org/10.1016/j.ijme.2017.12.006

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In today’s cost- and efficiency-conscious environment there may be resistance amongst HEIs to use informal verbal approaches to programme evaluation, such as focus groups, due to their resource-intensive nature. There may also be a lack of confidence amongst staff working with international cohorts about having the necessary skills to facilitate evaluative discussion and create an atmosphere of trust and openness. Drawing directly from three years’ experience of directing a Finance programme with an international cohort of four to ten students in a UK University, this paper argues that focus groups offer an invaluable source of rich feedback. As the HE sector prepares for the TEF, and Business, Management and Finance dealing programmes continue to rely on high numbers of international students, this is an opportune time for programme directors to reflect on how their commitment to teaching excellence is evidenced beyond rhetoric and box-ticking. The value of making space for the student voice is not limited to T&L enhancement, but includes: • helping students to develop reflective and critical thinking • enabling them to negotiate programme changes • engaging students with issues concerning their learning experience • ensuring that diversity and inclusion are central to discussion agendas • forging HEI-students partnership in the learning process.

Dr Miriam Marra

Dr Miriam Marra

Lecturer in Finance

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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: https://doi.org/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

Lecturer in 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: https://doi.org/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

Lecturer in 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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Economic Impact of Dubai Metro

Commissioned by the Dubai Roads and Transport Authority (RTA), the cross-disciplinary project outcomes span many areas of research interests within the Business School, such as impact on property and real-estate market, finance and foreign investments, environmental costs and urban congestion. It also makes use of innovative research tools using existing and new forms of data, such as textual…

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