Research Staff(alphabetical)
Disclaimer. The Curriculum Vitae in this page, and any links from this page to websites outside of the www.bde.es domain, are the sole responsibility of Javier Mencía. The Banco de España is not responsible for their content.
Javier Mencía
Head of Division
Macro-prudential Policy Division
Financial Stability Department
DG Financial Stability Regulation and Resolution
Contact Information
- Address: Calle Alcalá 48, 28014 Madrid, España
-
Contact form
Fields of Interest
- Financial Econometrics
- Credit risk
JEL Codes
- No JEL Codes specified.
Curriculum Vitae
(44 KB)
Selected Publications and Working Papers
-
“Model-based indicators for the identification of cyclical systemic risk”
Javier Mencía and J. E. Galán
Empirical Economics, 2021, 1-33
-
“El cuadro de mandos de la política macroprudencial”
Javier Mencía and Ángel Estrada
Información Comercial Española, 2021, 918, 25-43
-
“Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe”
Javier Mencía and J. E. Galán,
Banco de España Working Paper No. 1825, 2018
-
“Volatility-Related Exchange Traded Assets: An Econometric Investigation”
Javier Mencía and Enrique Sentana
Journal of Business & Economic Statistics, 2018, Vol 36 Issue 4, 599-614
-
“Credit and Liquidity Risk in Sovereign Bonds”
Álvaro Martín Herrero and Javier Mencía (2015 - 05)
Revista de Estabilidad Financiera - Nº 28, pp. 103-124
-
“Valuation of VIX derivatives”
Javier Mencía and Enrique Sentana (2013-05)
Journal of Financial Economics 108 (2), pp. 367-391.
-
“Assessing the risk-return trade-off in a loan portfolios”
Javier Mencía
Journal of Banking and Finance - 36 (6), pp. 1665-1677, 2012
-
“Distributional tests in multivariate dynamic models with Normal and Student t innovations”
Javier Mencía and Enrique Sentana
Review of Economics and Statistics - 94 (1), pp. 133-152, 2012
-
“A systematic approach to multi-period stress testing of portfolio credit risk”
Javier Mencía, T. Breuer, M. Jandacka and M. Summer
Journal of Banking and Finance - 36 (2), pp. 332-340, 2012
-
“Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation”
Javier Mencía and Enrique Sentana
Journal of Econometrics - 153 (2), pp. 105-121, 2009
JEL codes: C52, C32, G11
-
“Modelling the distribution of credit losses with observable and latent factors”
Gabriel Jiménez Zambrano, Javier Mencía
Journal of Empiriral Finance - 16 (2), pp. 235-253, 2009
JEL codes: G21, E32, E37
- Supplementary files: Banco de España Working Paper #709
- Supplementary files: Banco de España Working Paper #709