Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Alfonso Novales Cinca"'
Autor:
Alfonso Novales Cinca
Publikováno v:
Revista de Economía Mundial, Iss 64 (2023)
Reseña
Externí odkaz:
https://doaj.org/article/fd893ccf9f514941804c07c19b533b5e
Autor:
Alvaro Chamizo, Alfonso Novales Cinca
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c214cae23cff259bbe7cd4e584c21545
https://doi.org/10.2139/ssrn.3322265
https://doi.org/10.2139/ssrn.3322265
Publikováno v:
Economic Modelling. 42:398-412
In an endogenous growth model with public consumption and investment and an elastic labour supply, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9b32316424e6d00bdc9ecb3e8c02239a
https://doi.org/10.1016/j.econmod.2014.07.009
https://doi.org/10.1016/j.econmod.2014.07.009
Publikováno v:
SSRN Electronic Journal.
We provide evidence suggesting that the assumption on the probability distribution for return innovations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently propose
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ae342e2e9c73ee01bba7ec08dcf4aab
https://doi.org/10.2139/ssrn.3023885
https://doi.org/10.2139/ssrn.3023885
Autor:
Alfonso Novales Cinca, Alvaro Chamizo
Publikováno v:
SSRN Electronic Journal.
We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the face of decreased correlations between single name CDSs and credit indices. The interest of such hedge comes from the fact that the c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77b4b5ec546efcf3f0013078db8f935d
https://doi.org/10.2139/ssrn.3064589
https://doi.org/10.2139/ssrn.3064589
Publikováno v:
SERIEs. 2:185-216
A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market. We use a public data set of daily option prices to compute this index and show that daily changes in VIBEX-NEW disp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4988023b7e56f3c2817385117821ff14
https://doi.org/10.1007/s13209-010-0031-6
https://doi.org/10.1007/s13209-010-0031-6
Publikováno v:
SSRN Electronic Journal.
This paper introduces a continuous-time model for commodity pricing under the assumption that logged prices converge to a mean level that experiences smooth, periodic fluctuations over long periods of time. Our model incorporates that assumption by m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7360592e811487505727ef3bcda2c56d
https://doi.org/10.2139/ssrn.2788176
https://doi.org/10.2139/ssrn.2788176
Autor:
Alvaro Chamizo, Alfonso Novales Cinca
Publikováno v:
SSRN Electronic Journal.
We provide a methodology to estimate a global credit risk factor (GRF) from CDS spreads. The estimated factor contains higher explanatory power on CDS spread fluctuations across sectors than standard credit indices like iTraxx or CDX. We find a posit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d17b883f991cb6a8de37ab32778fc1c1
https://doi.org/10.2139/ssrn.2842580
https://doi.org/10.2139/ssrn.2842580
Autor:
Alfonso Novales Cinca, Alvaro Chamizo
Publikováno v:
SSRN Electronic Journal.
The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS products brea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74f79a92fa1ee4911c3151cacfc0d03b
https://doi.org/10.2139/ssrn.2707680
https://doi.org/10.2139/ssrn.2707680
Autor:
Alvaro Chamizo, Alfonso Novales Cinca
Publikováno v:
SSRN Electronic Journal.
Did the credit market anticipate the financial crisis before the regulators? Should the level of regulatory capital react to events in the credit market? Our methodology to address these issues combines the Merton model for the determination of econo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3569200494b42d1fe9cd47ec5d5d283b
https://doi.org/10.2139/ssrn.2707681
https://doi.org/10.2139/ssrn.2707681