Research Staff

 Francisco Javier Mencía

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 Francisco Javier Mencía. The Banco de España is not responsible for their content.

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

< Back to list