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Modelling the distribution of credit losses with observable and latent factors
Jiménez, Gabriel; Mencía, Javier - In: Journal of empirical finance 16 (2009) 2, pp. 235-253
Persistent link: https://www.econbiz.de/10008172661
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Modelling the distribution of credit losses with observable and latent factors
Jiménez, Gabriel; Mencía, Javier - In: Journal of empirical finance 16 (2009) 2, pp. 235-254
Persistent link: https://www.econbiz.de/10008896130
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Assessing the risk-return trade-off in loan portfolios
Mencía, Javier - In: Journal of banking & finance 36 (2012) 6, pp. 1665-1678
Persistent link: https://www.econbiz.de/10009961918
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Valuation of VIX derivatives
Mencía, Javier; Sentana, Enrique - In: Journal of financial economics 108 (2013) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10010104760
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Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation
Mencía, Javier; Sentana, Enrique - In: Journal of econometrics 153 (2009) 2, pp. 105-121
Persistent link: https://www.econbiz.de/10008314443
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Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
León, Ángel; Mencía, Javier; Sentana, Enrique - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 176-192
Persistent link: https://www.econbiz.de/10008248863
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A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - In: Journal of banking & finance 36 (2012) 2, pp. 332-341
Persistent link: https://www.econbiz.de/10009818201
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Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations
Mencía, Javier; Sentana, Enrique - In: The review of economics and statistics 94 (2012) 1, pp. 133-153
Persistent link: https://www.econbiz.de/10009826306
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Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation
Mencía, Javier; Sentana, Enrique - In: Journal of econometrics 153 (2009) 2, pp. 105-122
Persistent link: https://www.econbiz.de/10008883203
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Empirical Analysis of Corporate Credit Lines
Jiménez, Gabriel; Lopez, Jose A.; Saurina, Jesús - In: The review of financial studies 22 (2013) 12, pp. 5069-5068
Persistent link: https://www.econbiz.de/10010114701