Mencía, Javier

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

Empirical Economics, 2021, 1-33

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

Información Comercial Española, 2021, 918, 25-43

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

Banco de España Working Paper No. 1825, 2018

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

Credit and Liquidity Risk in Sovereign Bonds Álvaro Martín Herrero and Javier Mencía (2015 - 05)

Revista de Estabilidad Financiera - Nº 28, pp. 103-124

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

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

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

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