Departamentos

  1. Portada
  2. Personal
  3. [...]
  4. Research by areas
  5. Volatility and Risk Management in Financial Markets

Volatility and Risk Management in Financial Markets

  • Evaluation of market risk associated with hedging a credit derivative portfolio, con A. Chamizo, Quarterly Review of Economics and Finance, 2021
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  • Volatility specifications versus probability distributions in VaR forecasting, con L. Garcia-Jorcano, Journal of Forecasting, 2020, 

    https://doi-org.bucm.idm.oclc.org/10.1002/for.2697.

  • A dominance approach for comparing the performance of VaR forecasting models, con L. Garcia-Jorcano, Computational Statistics, 2020. https://doi.org/10.1007/s00180-020-00990-4

  • Forward-looking asset correlations in the estimation of economic capital, with Alvaro Chamizo, Journal of International Financial Markets, Institutions and Money, in press, 2019
  • Backtesting extreme value theory models of expected shortfall, with Laura Garcia-Jorcano, Quantitative Finance, 19, 5. 2019.
  • Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components, con A.Chamizo, Journal of Risk and Financial Management, 12, 129, 2019. doi:10.3390/jrfm12030129
  • Looking through systemic credit risk: determinants, stress testing and market value, con A. Chamizo, 2020, Journal of International Financial Markets, Institutions and Money, 64, 101167. https://doi.org/10.1016/j.intfin.2019.101167
  • Long term swings and seasonality in energy markets con M. Moreno y F. Platania, 2019, European Journal of Operations Research, 279, 3, 1011-1023. https://doi.org/10.1016/j.ejor.2019.05.042
  • A Term Structure Model under Cyclical Fluctuations in Interest Rates, with M. Moreno y F. Platania, Economic Modelling, 72(C), pages 140-150. 2018
  • Credit Risk Decomposition for Asset Allocation, with Alvaro Chamizo. Journal of Financial Transformation, CAPCO Institute, mayo 2016, 117-124
  • Liquidity and hedging effectiveness under futures mispricing: international evidence, con A. Andani, A., y Lafuente, J.A., 2009, Journal of Futures Markets, vol. 29, 7, 1-17.