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Mencía, Javier

Head of Division

Información de contacto

The benefits and costs of adjusting bank capitalisation: evidence from Euro Area countries Katarzyna Budnik, Massimiliano Affinito, Gaia Barbic, Saiffedine Ben Hadj, Edouard Chretien, Hans Dewachter, Clara Isabel González, Jenny Hu, Lauri Jantunen, Ramona Jimborean, Otso Manninen, Ricardo Martinho, Javier Mencía, Elena Mousarri et al.

JEL Codes: 1923

What drives sovereign debt portfolios of banks in a crisis context? Matías Lamas and Javier Mencía

JEL Codes: 1843

Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe Jorge E. Galán and Javier Mencía

JEL Codes: 1825

Published in: Empirical Economics. Volume 61, pp 3179-3211, December 2021Opens in new window

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

 

Volatility-related exchange traded assets: an econometric investigation Javier Mencía and Enrique Sentana

JEL Codes: 1510

Published in: Journal of Business and Economic Statistics Volume 36, Issue 4, October 2018, Pages 599-614Opens in new window

Valuation of VIX derivatives Javier Mencía and Enrique Sentana

JEL Codes: 1232

Published in: Journal of Financial Economics, 108 (2), May 2013, 367-391

A systematic approach to multi-period stress testing of portfolio credit risk Thomas Breuer, Martin Jandacka, Javier Mencía and Martin Summer

JEL Codes: 1018

Testing non-linear dependence in the Hedge Fund industry Javier Mencía

JEL Codes: 1007

Distributional tests in multivariate dynamic models with Normal and Student t innovations Javier Mencía; Enrique Sentana

JEL Codes: 0929

Assessing the risk-return trade-off in loans portfolios Javier Mencía

JEL Codes: 0911

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation Javier Mencía y Enrique Sentana

JEL Codes: 0909

Modelling the distribution of credit losses with observable and latent factors Gabriel Jiménez y Javier Mencía

JEL Codes: 0709

Parametric properties of semi-nonparametric distributions, with applications to option valuation Ángel León, Javier Mencía and Enrique Sentana

JEL Codes: 0707

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

El cuadro de mandos de la política macroprudencial Javier Mencía and Ángel Estrada

Información Comercial Española, 2021, 918, 25-43

Model-based indicators for the identification of cyclical systemic risk Javier Mencía and J. E. Galán

Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe Jorge E. Galán y Javier Mencía

JEL Codes: 1825

Publicado en: Empirical Economics. Volume 61, pp 3179-3211, December 2021Opens in new window

Volatility-related exchange traded assets: an econometric investigation Javier Mencía y Enrique Sentana

JEL Codes: 1510

Publicado en: Journal of Business and Economic Statistics Volume 36, Issue 4, October 2018, Pages 599-614Opens in new window

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

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