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  The New York Fed has been working with tri-party repo market participants to make changes to improve the resiliency of the market to financial stress.
Community Development
& Education

Guillaume Roussellet

Research Economist
Macrofinance Studies
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

guillaume.roussellet@ny.frb.org


Bio

Fields of interest

Financial Economics, Asset and Derivative Pricing, Yield Curve, Monetary Policy, Macrofinance, Inflation Risk Premia, Default Risk

Guillaume Roussellet joined the New York Fed in January 2024. His research is specialized in financial econometrics, more specifically with the modeling of the term structure of interest rates. His papers look at estimation methods, default risk assessment of sovereign and corporate bonds, inflation risk, and the modeling of the zero lower bound. His work has been published in leading academic journals, such as the Journal of Econometrics and Management Science. He is currently on leave from McGill University, Desautels School of Management. He holds a Ph.D. in applied mathematics from Université Paris-Dauphine and CREST, and master’s degrees in economics and statistics from ENSAE and Paris School of Economics.

Guillaume Roussellet's CV PDF

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