Departamentos

  1. Portada
  2. Personal
  3. Profesores
  4. JIMENEZ-MARTIN, JUAN-ANGEL

JIMENEZ-MARTIN, JUAN-ANGEL

 

   

    

 

Pedriza-Madrid

 

Current Position

Associate Professor.

ICAE and Department of Economic Analysis.

Facultad de Económicas y Empresariales (School of Economics and Business)

Campus de Somosaguas, Pozuelo de Alarcón

Madrid, 28223, Spain

E-mail: juanangel@ccee.ucm.es

 

 

 

 

 

 

 

 

 

 

 

Biography

 

Juan-Angel Jimenez-Martin (PhD) is Associate Professor of Econometrics, Financial Econometrics, and Risk Management at the Universidad Complutense de Madrid, Spain. He performed as a visiting scholar in the Department of Economics of prestigious universities: George Washington Univ. (2005, 2006); National Yokohama Univ. (2008); National Chung Hsing Univ. (2009); U. of California, Riverside (2011); Univ. of Padua (2018). That has allowed him to build lasting bonds with international researchers such as M. Caporin, R. Casarin, C. Chang, E. Maasoumi or M. McAleer.

 

He has published in international refereed journals such as Review of Finance, Journal of Econometrics, Mathematics and Computers in Simulation, International Review of Economics and Finance, The North American Journal of Economics and Finance, Journal of Economic Surveys, Journal of Forecasting and Economic Modelling, among others. Professor Jimenez-Martin holds a PhD in Economics from the Complutense University with an emphasis in Econometrics and International Finance.

 

He is currently a member of the Editorial Board of Advances in Decision Sciences and Annals of Financial Economics. He has taught numerous undergraduate and Master courses including Econometrics, Risk Management, Risk Measurement, Intenational Finance and Advanced Econometrics.

 

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Education

 

2003 PhD in Economics. Universidad Complutense de Madrid.

1993 BA in Economics. Universidad Complutense de Madrid.

 

Research in progress

Publications

Journal Articles

  • (2024) Early warnings of systemic risk using one-minute high-frequency data, Expert Systems with Applications (Open Access).  (With M. Caporin and L. Garcia-Jorcano). Impact Factor = 8.5 (2022). Cite Score (Scopus) = 12.6 (2022).
  • (2024) ESG Risk Exposure: A Tale of Two Tails, Forthcoming in Quantitative Finance, (joint with R. Yang and  M. Caporin).  Impact Factor = 1.3 (2022). Cite Score (Scopus) = 3.6 (2022)
  • (2024) Measuring Climate Transition Risk Spillovers, Review of Finance, 28 (2), 447-482. (joint with R. Yang and  M. Caporin).  Impact Factor = 4.4 (2022)
  • (2023) Tail sensitivity of stocks to carbon risk: a sectoral analysis, Journal of Credit Risk, 19(4), 23-57. (joint with L. Garcia-Jorcano and L. Robles-Fernazdez). JCR = 0.8 (2022)
  • (2022) Carbon Dioxide Risk Exposure: Co2Risk, Climate Risk Management, Volume 36, 100435 (With L. Garcia-Jorcano and D. Robles Fernandez). JCR = 4.4 (2022). 
  • (2021) Measuring systemic risk during the COVID-19 period: A TALIS3 approach, Finance Research Letters, link to the paper (With M. Caporin and L. Garcia-Jorcano). JCR = 10.4 (2022).
  • (2021) TrAffic LIght System for Systemic Stress: TALIS3, North American Journal of Economics and Finance, Volume 57, July 2021, link to the paper. (With M. Caporin adn L. Garcia-Jorcano). JCR = 2.772 (2020)
  • (2019) Choosing expected shortfall over VaR in Basel III using stochastic dominance, International Review of Economics and Finance, 60, 95-113, (With C. Chang, E. Maasoumi, M. McAleer and T. Perez-Amaral). JCR = 1.318 (2017)
  • (2018) "Revisiting the guns vs butter dilemma. Was Spain different in the implementation of public policies? Defence, growth and education", Policy Studies,  (with José Jurado-Sánchez). DOI: https://doi.org/10.1080/01442872.2018.1540778.  JCR = 0.714 (2017)
  • (2018)  Traffic Lights for Systemic Risk Detection, Book of short Papers SIS 2018. Ed. Abbruzzo, Brentari, Chiodi e Piacentino, Pearson. (with Caporin, Garcia-Jorcano) Forthcoming

  • (2015)  "A Stochastic Dominance Approach to Financial Risk Management Strategies", Journal of Econometrics, 187(2), pp. 472-485. (JCR-2014 = 1.60) (with Chialin Chang,  Esfandiar Maasoumi and Tedosio Perez Amaral).

  • (2014) "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises", Journal of International Financial Markets, Institutions and Money, 31, 159–177, (With M. Caporin and L. Gonzalez-Serrano). JCR = xxx (201?)

  • (2013) "Currency hedging strategies using dynamic multivariate GARCH", Mathematics and Computer in Simulation, 94, 159-163, (With C. Chang and L. Gonzalez-Serrano). JCR = 0.836 (2012)

  • (2013) "Has the Basel Accord improved Risk Management During the Global Financial Crisis", The North American Journal of Economics and Finance, 26, 250-265, DOI: 10.1016/j.najef.2013.02.004 (With M. McAleer and T. Perez-Amaral). JCR = 0.825(2012).

  • (2013) "Risk Management of Risk under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures", Mathematics and Computer in Simulation, 94, 183-204 (With R. Casarin, C. Chang, M. McAleer and T. Perez-Amaral). JCR = 0.836 (2012)

  • (2013) "GFC-robust risk management under the Basel Accord using extreme value methodologies", Mathematics and Computer in Simulation, 94, 223-237, DOI: 10.1016/j.najef.2013.02.004 (With M. McAleer, T. Perez-Amaral and P. Araujo-Santos). JCR = 0.836 (2012)

  • (2013) "GFC-robust risk management strategies under the Basel Accord", International Review of Economics and Finance, 27, 97-111, DOI: 10.1016/j.iref.2012.09.006 (With M. McAleer and T. Perez-Amaral). JCR = 0.855(2012)

  • (2013) "The Rise and Fall of S&P500 Variance Futures", The North American Journal of Economics and Finance, 25, 151-167, DOI: 10.1016/j.najef.2012.06.011 (With C. Chang, M. McAleer and T. Perez-Amaral). JCR = 0.825 (2012)

  • (2013) "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord", Journal of Forecasting, 32(3),267-288, DOI: 10.1002/for.1269. (With M. McAleer y T. Perez-Amaral). (0.679(2012) – JCR - 124/174 Economics.)

  • (2012) "Gestion del riesgo en tipos de cambio y crisis financiera", Perspectivas del Sistema Financiero, 194, 25-34. (With L. Gonzalez-Serrano)

  • (2011) "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures", Managerial Finance, 37, 1088-1106. (With C. Chang, M. McAleer and T. Perez-Amaral).

  • (2010) "State-Uncertainty preferences and the Risk Premium in the Exchange rate market", Economic Modelling, Volume 27 (5), September 2010, 1043-1053, (with Alfonso Novales Cinca). (0.588-JCR- (151/245 Economics).

  • (2010). “What Happened to Risk Management during the 2008-09 Financial Crisis? Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future, edited by Robert W. Kolb, Hoboken, NJ, John Wiley & Sons, Inc.(with M. McAleer and T. Perez-Amaral)

  • (2009). “Optimal Risk Management Before, During and After the 2008-09 Financial Crisis”, Medium for Econometric Applications, 17(3), 20-27 (with M. McAleer and T. Perez-Amaral).http://ssrn.com/abstract=143191

  • (2010). “A Decision Rule to Minimize Daily Capital Charges in Forecasting Valu-at-Risk”, Journal of Forecasting, 29 (7), 617, (with M. McAleer and T. Perez-Amaral). JCR: 0.507 (88/112 Economics) http://ssrn.com/abstract=1349844

  • (2009). “The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord”, Journal of Economic Surveys,Volume 23(5), 850-855.(with M. McAleer and T. Perez-Amaral).http://ssrn.com/abstract=1356803

  • (2009). "Seasonal fluctuations and equilibrium models of exchange rate”, Applied Economics, 41 (20), 2635-2652, (with R. Flores)

  • (2009). "PPP: Delusion or Reality? Evidence from a Nonlinear Analysis”, Open Economies Review, (with D. Robles). DOI 10.1007/s11079-009-9113-0. http://ssrn.com/abstract=1356809

  • (2008). “ Los mercados financieros y los desequilibrios globales: sostenibilidad y ajuste”, Papeles de Economía Española, 116, 19-34 (with M. José Moral-Rincon).

  • (2007). "The Effects of Macroeconomics and Policy Uncertainty on Exchange Rate Risk Premium", International Business & Economic Research Journal, 6, 3, 29-48 . (with R. Peruga)- Tables and figures of this paper

  • (2006). "Strategic Alliances as a mechanism for wealth creation in the biopharmaceutical industry: An Empirical Analysis of the Spanish Case", Journal of Commercial Biotechnology, 12, 229-236. (with E. Gutiérrez de Mesa y J.Mascareñas)

  • (2006). "¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?", Estudios de Economía aplicada, 24-1, 361-395. ISSN 1133-3197. On-line, ISSN: 1697-573

  • (2004). "Los modelos de equilibrio general y el tipo de cambio", Estudios de Economía aplicada, Res 22328, Vol. 22-3. ISSN: 1697-5731

 Documentos de Trabajo/Working Papers

Libros/Books

  • (2010). Toolbox for Econometrics I and II (Caja de Herramientas de Econometría I y II), Cersa Publishers, Madrid, Spain. ISBN: 978-84-693-4414-9.

  • (2004). Stochastic Equilibrium Models of Exchange Rate (Los Modelos de Equilibrio General Estocástico y el Tipo de Cambio), dissertation supervised by Professor Rafael Flores de Frutos,Complutense University Press, ISBN: 84-669-2261-X

Traducción de Libros/Books Translation

  • (2006) Introducción a la Microeconomía, chapters 1-4. ISBN 84-291-2631-7 (With S. Benito, E. Fernández, R. Pérez, and J. Ruiz). English version: Microeconomics (2006), P. Krugman and R. Wells, Worth Publishers, New York and Basingstoke. ISBN:0716752298

Trabajo en Proceso/Work in Progress

  • "The European Spirit and Macroeconomic uncertainty and exchange rate risk premium"

  • "Public Investment, Economic Performance and Budgetary Consolidation: Evidence for the Latino American Countries" (with Alfredo M. Pereira)

Proyectos de Investigación/Research Projects

  • Fiscal and Monetary Policy: i) theoretical analysis and ii) effects on financial markets, project DGICYT SEJ2006-14354/ECON Financed by DGICYT, Spanish Minister of Education and Science.Project director: Alfonso Novales Cinca, 2007-2010.

  • Labor Panorama 2005-2008, Financed by Community of Madrid. Project director: Victoriano Martín.

  • Risk Analysis in Bond Markets: Empirical Evidence and Theoretical Characterization, project: BEC2003-03965 (Análisis Del Riesgo en Mercados de Renta Fija: Evidencia Empírica Y Caracterización Teórica), Financed by DGICYT, Spanish Minister of Education and Science. Project director: Alfonso Novales Cinca.

  • Risk Analysis in Bond Markets: Empirical Evidence, Project PR1 / 03, financed by Complutense University of Madrid. Project director: Alfonso Novales Cinca, 2003

 

Áreas de Interés/Research Interests

International Finance.

Macro-Econometrics

Time Series

 

Asignaturas Impartidas/Teaching

Econometrics

Risk measurement

International Capital Markets

 

 

 

Información Adicional/ Additional Information

We are raising funds for OXFAM-Intermón. Supporters are welcome.

I used to live in "Pasarilla del Rebollar", (Avila)