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Mencía, Javier

Senior Economist

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.

Códigos JEL: 1923

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

Códigos JEL: 1843

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

Códigos JEL: 1825

Publicado en: Empirical Economics. Volume 61, pp 3179-3211, December 2021Abre en nueva ventana

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

Códigos JEL: 1510

Publicado en: Journal of Business and Economic Statistics Volume 36, Issue 4, October 2018, Pages 599-614Abre en nueva ventana

Valuation of VIX derivatives Javier Mencía y Enrique Sentana

Códigos JEL: 1232

Publicado en: 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 y Martin Summer

Códigos JEL: 1018

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

Códigos JEL: 1007

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

Códigos JEL: 0929

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

Códigos JEL: 0911

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

Códigos JEL: 0909

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

Códigos JEL: 0709

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

Códigos JEL: 0707

El cuadro de mandos de la política macroprudencial Javier Mencía and Ángel Estrada (2021)

Información Comercial Española, 2021, 918, 25-43

Model-based indicators for the identification of cyclical systemic risk Javier Mencía and Jorge E. Galán (2021)

Empirical Economics, Volume 61, pages 3179–3211

Volatility-related exchange traded assets: an econometric investigation Javier Mencía y Enrique Sentana (2018)

Journal of Business & Economic Statistics, Volume 36, Issue 4

 Códigos JEL: 1510

Valuation of VIX derivatives Javier Mencía and Enrique Sentana (2013)

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

Assessing the risk-return trade-off in a loan portfolios Javier Mencía (2012)

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

A systematic approach to multi-period stress testing of portfolio credit risk Javier Mencía, Thomas Breuer, Martin Jandacka, Martin Summer (2012)

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

Distributional tests in multivariate dynamic models with Normal and Student t innovations Javier Mencía and Enrique Sentana (2012)

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 (2009)

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

 Códigos JEL: C52, C32, G11

Modelling the distribution of credit losses with observable and latent factors Gabriel Jiménez Zambrano, Javier Mencía (2009)

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

 Códigos JEL: G21, E32, E37