Publications by the researcher in collaboration with Juan-Ángel Jiménez-Martín (13)

2015

  1. A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?

    Documentos de Trabajo (ICAE)

2014

  1. A Stochastic Dominance Approach to Financial Risk Management Strategies

    Documentos de Trabajo (ICAE)

2012

  1. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

    Documentos de Trabajo (ICAE)

2011

  1. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

    Documentos de Trabajo (ICAE)

  2. International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord

    Documentos de Trabajo (ICAE)

  3. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

    Documentos de Trabajo (ICAE)

  4. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

    Documentos de Trabajo (ICAE)

  5. The Rise and Fall of S&P500 Variance Futures

    Documentos de Trabajo (ICAE)

2010

  1. GFC-Robust Risk Management Strategies under the Basel Accord

    Documentos de Trabajo (ICAE)

2009

  1. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

    Documentos de Trabajo (ICAE)

  2. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

    Documentos de Trabajo (ICAE)

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

    Documentos de Trabajo (ICAE)

  4. What Happened to Risk Management During the 2008-09 Financial Crisis?

    Documentos de Trabajo (ICAE)