Publications (19) Publications in which a researcher has participated View referenced research data.

filter_list Risk Management

2024

  1. Basel III countercyclical bank capital buffer estimation and its relation to monetary policy

    Journal of Economics and Business, Vol. 130

2023

  1. Prudential regulation and bank solvency based on flexible distributions: An example for evaluating the impact of monetary policy

    World Economy, Vol. 46, Núm. 9, pp. 2780-2807

2022

  1. Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies

    Risk Management, Vol. 24, Núm. 1, pp. 81-99

  2. Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?

    Finance Research Letters, Vol. 49

  3. Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns

    Engineering Economist, Vol. 67, Núm. 3, pp. 218-233

2021

  1. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures

    International Journal of Finance and Economics, Vol. 26, Núm. 3, pp. 4163-4189

  2. Financial market crash prediction through analysis of stable and Pareto distributions

    Mathematical and Statistical Methods for Actuarial Sciences and Finance: eMAF2020 (Springer International Publishing), pp. 355-360

2020

  1. Market-crash forecasting based on the dynamics of the alpha-stable distribution

    Physica A: Statistical Mechanics and its Applications, Vol. 557

  2. Portfolio risk assessment under dynamic (Equi)correlation and semi-nonparametric estimation: An application to cryptocurrencies

    Mathematics, Vol. 8, Núm. 12, pp. 1-24

  3. Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach

    North American Journal of Economics and Finance, Vol. 54

  4. Risk quantification and validation for Bitcoin

    Operations Research Letters, Vol. 48, Núm. 4, pp. 534-541

  5. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall

    International Review of Financial Analysis, Vol. 70

  6. Uncertainty in electricity markets from a semi-nonparametric approach

    Energy Policy, Vol. 137

2019

  1. Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

    European Journal of Finance, Vol. 25, Núm. 17, pp. 1746-1764

2018

  1. Moral hazard and default risk of SMEs with collateralized loans

    Finance Research Letters, Vol. 26, pp. 95-99

2017

  1. Moments expansion densities for quantifying financial risk

    North American Journal of Economics and Finance, Vol. 42, pp. 53-69

  2. Multivariate approximations to portfolio return distribution

    Computational and Mathematical Organization Theory, Vol. 23, Núm. 3, pp. 347-361

2016

  1. Multivariate moments expansion density: Application of the dynamic equicorrelation model

    Journal of Banking and Finance, Vol. 72, pp. S216-S232

2015

  1. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

    Documentos de trabajo - Banco de España