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Publications

by members of

Comisión Nacional del Mercado de Valores (CNMV)
Government of Spain
Madrid, Spain

(National Stock Markets Commission, )

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2022

  1. Ricardo Crisostomo, 2022. "Measuring Transition Risk in Investment Funds," Papers 2210.15329, arXiv.org, revised Dec 2022.

2021

  1. Ricardo Crisóstomo, 2021. "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.

2020

  1. Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.

2018

  1. Ricardo Crisostomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," Papers 1801.08007, arXiv.org, revised May 2018.

2017

  1. Ricardo Cris'ostomo, 2017. "Speed and biases of Fourier-based pricing choices: A numerical analysis," Papers 1706.05935, arXiv.org, revised May 2018.
  2. Ricardo Crisóstomo, 2017. "Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.

2016

  1. Peralta, Gustavo & Crisóstomo, Ricardo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.

2015

  1. Ricardo Crisostomo, 2015. "An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," Papers 1502.02963, arXiv.org, revised Mar 2015.

2011

  1. Suarez, Javier & González-Aguado, Carlos, 2011. "Interest Rates and Credit Risk," CEPR Discussion Papers 8398, C.E.P.R. Discussion Papers.

2006

  1. Carlos González-Aguado & Max Bruche, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," FMG Discussion Papers dp572, Financial Markets Group.

Journal articles

2021

  1. Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.

2018

  1. Ricardo Crisóstomo & Lorena Couso, 2018. "Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 589-603, August.

2010

  1. Bruche, Max & González-Aguado, Carlos, 2010. "Recovery rates, default probabilities, and the credit cycle," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 754-764, April.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.