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
- Ricardo Crisostomo, 2022.
"Measuring Transition Risk in Investment Funds,"
Papers
2210.15329, arXiv.org, revised Dec 2022.
- Ricardo Crisóstomo, 2023. "Measuring Transition Risk in Investment Funds," CNMV Working Papers CNMV Working Papers no. 8, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
2021
- 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
- Ricardo Cris'ostomo, 2020.
"Estimating real-world probabilities: A forward-looking behavioral framework,"
Papers
2012.09041, arXiv.org, revised Jan 2021.
- 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.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
2018
- 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.
- 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.
- Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
2017
- Ricardo Cris'ostomo, 2017. "Speed and biases of Fourier-based pricing choices: A numerical analysis," Papers 1706.05935, arXiv.org, revised May 2018.
- 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
- Peralta, Gustavo & Crisóstomo, Ricardo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.
2015
- Ricardo Crisostomo, 2015.
"An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab,"
Papers
1502.02963, arXiv.org, revised Mar 2015.
- Ricardo Crisóstomo, 2014. "An analisys of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab," CNMV Working Papers CNMV Working Papers no 58, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
2011
- Suarez, Javier & González-Aguado, Carlos, 2011.
"Interest Rates and Credit Risk,"
CEPR Discussion Papers
8398, C.E.P.R. Discussion Papers.
- Carlos González‐Aguado & Javier Suarez, 2015. "Interest Rates and Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 445-480, March.
2006
- Carlos González-Aguado & Max Bruche, 2006.
"Recovery Rates, Default Probabilities and the Credit Cycle,"
FMG Discussion Papers
dp572, Financial Markets Group.
- 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.
- Max Bruche & Carlos González-Aguado, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," Working Papers wp2006_0612, CEMFI.
- Bruche, Max & Gonzalez-Aguado, Carlos, 2006. "Recovery rates, default probabilities and the credit cycle," LSE Research Online Documents on Economics 24524, London School of Economics and Political Science, LSE Library.
Journal articles
2021
- 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.
- Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
2018
- 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.
- 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.
- Ricardo Crisóstomo & Lorena Couso, 2017. "Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
2010
- 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.
- Max Bruche & Carlos González-Aguado, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," Working Papers wp2006_0612, CEMFI.
- Carlos González-Aguado & Max Bruche, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," FMG Discussion Papers dp572, Financial Markets Group.
- Bruche, Max & Gonzalez-Aguado, Carlos, 2006. "Recovery rates, default probabilities and the credit cycle," LSE Research Online Documents on Economics 24524, London School of Economics and Political Science, LSE Library.