Javier Mencía - Central Bank Research Hub

Papers by year: All | 2012 | 2010 | 2009 | 2007

	Title	Other author(s)
Full text	Valuation of VIX derivatives Bank of Spain Working Papers [View] (Paper: 1232, 24.09.2012)	Enrique Sentana
Abstract Full text	A systematic approach to multi-period stress testing of portfolio credit risk Bank of Spain Working Papers [View] (Paper: 1018, 18.06.2010) JEL: C15, G20, G28, G32	Martin Summer Martin Jandacka Thomas Breuer
Abstract Full text	Testing non-linear dependence in the Hedge Fund industry Bank of Spain Working Papers [View] (Paper: 1007, 19.03.2010)
Abstract Full text	Distributional tests in multivariate dynamic models with Normal and Student t innovations Bank of Spain Working Papers [View] (Paper: 0929, 21.12.2009) JEL: C12, C32, C52	Enrique Sentana
Abstract Full text	Assessing the risk-return trade-off in loans portfolios (566 KB) Bank of Spain Working Papers [View] (Paper: 0911, 12.06.2009) JEL: C32, D81, G11, G12, G21, G28
Abstract Full text	Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (1.129 KB) Bank of Spain Working Papers [View] (Paper: 0909, 02.06.2009) JEL: C32, C52, G11	Enrique Sentana
Abstract Full text	Modeling the distribution of credit losses with observable and latent factors Bank of Spain Working Papers [View] (Paper: 0709, 18.04.2007) JEL: E32, E37, G21	Gabriel Jiménez
Abstract Full text	Parametric properties of semi-nonparametric distributions, with applications to option valuation Bank of Spain Working Papers [View] (Paper: 0707, 27.03.2007) JEL: G13	Ángel León Enrique Sentana

Papers by year: All | 2012 | 2010 | 2009 | 2007