Research Staff(alphabetical)

 Francisco Javier Mencía

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Francisco Javier Mencía

Head of Division

Macro-prudential Policy Division
Financial Stability Department
DG Financial Stability and Resolution

Contact Information

Fields of Interest

  • Financial Econometrics
  • Credit risk

JEL Codes

  • No JEL Codes specified.

Curriculum Vitae

Selected Publications and Working Papers

  • “Credit and Liquidity Risk in Sovereign Bonds” Abre en nueva ventana

    Álvaro Martín Herrero and Javier Mencía (2015 - 05)

    Revista de Estabilidad Financiera - Nº 28, pp. 103-124

  • “Valuation of VIX derivatives” Abre en nueva ventana

    Javier Mencía and Enrique Sentana (2013-05)

    Journal of Financial Economics 108 (2), pp. 367-391.

  • “Testing non-linear dependence in the Hedge fund industry”

    Javier Mencía (Summer 2012)

    Journal of Financial Econometrics - 10 (3), pp. 545-587

  • “Assessing the risk-return trade-off in a loan portfolios”

    Javier Mencía (2012-06)

    Journal of Banking and Finance - 36 (6), pp. 1665-1677

  • “Distributional tests in multivariate dynamic models with Normal and Student t innovations”

    Javier Mencía and Enrique Sentana (2012) (2012-02)

    Review of Economics and Statistics - 94 (1), pp. 133-152

  • “A systematic approach to multi-period stress testing of portfolio credit risk”

    Javier Mencía, T. Breuer, M. Jandacka and M. Summer (2012) (2012-02)

    Journal of Banking and Finance - 36 (2), pp. 332-340

  • “Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation”

    Javier Mencía and Enrique Sentana (2009-12)

    Journal of Econometrics - 153 (2), pp. 105-121.

    JEL codes:  C52, C32, G11

  • “Parametric properties of semi-nonparametric distributions, with applications to option valuation” Abre en nueva ventana

    Ángel León, Francisco Javier Mencía, and Enrique Sentana (2009-04)

    Journal of Business and Economic Statistics - 27 (2), pp. 176-192.

  • “Modelling the distribution of credit losses with observable and latent factors”

    Gabriel Jiménez Zambrano, Javier Mencía (2009-03)

    Journal of Empiriral Finance - 16 (2), pp. 235-253

    JEL codes: G21, E32, E37

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