Publications by the researcher in collaboration with Álvaro Chamizo (4)

2019

  1. Forward-looking asset correlations in the estimation of economic capital

    Documentos de Trabajo (ICAE)

  2. Looking through systemic credit risk: determinants, stress testing and market value

    Documentos de Trabajo (ICAE)

  3. Market risk when hedging a global credit portfolio

    Documentos de Trabajo (ICAE)

  4. Splitting credit risk into systemic, sectorial and idiosyncratic components

    Documentos de Trabajo (ICAE)