Mencía, Javier

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.

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

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

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

Valuation of VIX derivatives Javier Mencía and Enrique Sentana

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

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

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

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

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

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

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