JUAN ÁNGEL JIMÉNEZ MARTÍN-rekin lankidetzan egindako argitalpenak (13)

2019

  1. Choosing expected shortfall over VaR in Basel III using stochastic dominance

    International Review of Economics and Finance, Vol. 60, pp. 95-113

2015

  1. A stochastic dominance approach to financial risk management strategies

    Journal of Econometrics, Vol. 187, Núm. 2, pp. 472-485

2013

  1. GFC-robust risk management strategies under the Basel Accord

    International Review of Economics and Finance, Vol. 27, pp. 97-111

  2. GFC-robust risk management under the Basel Accord using extreme value methodologies

    Mathematics and Computers in Simulation, Vol. 94, pp. 223-237

  3. Has the Basel Accord improved risk management during the global financial crisis?

    North American Journal of Economics and Finance, Vol. 26, pp. 250-265

  4. International evidence on GFC-robust forecasts for risk management under the Basel Accord

    Journal of Forecasting, Vol. 32, Núm. 3, pp. 267-288

  5. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

    Mathematics and Computers in Simulation, Vol. 94, pp. 183-204

  6. The rise and fall of S&P500 variance futures

    North American Journal of Economics and Finance, Vol. 25, pp. 151-167

2011

  1. Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures

    Managerial Finance, Vol. 37, Núm. 11, pp. 1088-1106

  2. The Ten Commandments for Managing Value at Risk Under the Basel II Accord

    Issues in Finance: Credit, Crises and Policies (Wiley-Blackwell), pp. 59-64

  3. What Happened to Risk Management During the 2008-2009 Financial Crisis?

    Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future (John Wiley and Sons), pp. 307-316

2010

  1. A decision rule to minimize daily capital charges in forecasting value-at-risk

    Journal of Forecasting, Vol. 29, Núm. 7

2009

  1. The ten commandments for managing value at risk under the basel II accord

    Journal of Economic Surveys, Vol. 23, Núm. 5, pp. 850-855