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Viewing: 1 - 26 of 26 papers

1.

The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress

CNMV Working Paper No. 41 (2010)
Number of pages: 54 Posted: 12 Jun 2019
Working Paper Series
Universidad Carlos III de Madrid - Department of Business Administration, Universidad Carlos III de Madrid and Banco de España
Downloads 1
2.

A New Test of Statistical Arbitraje with Applications to Credit Derivatives Markets

CNMV Working Paper No. 47 (2011)
Number of pages: 52 Posted: 12 Jun 2019
Accepted Paper Series
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 2
3.

Are All Credit Default Swap Databases Equal?

CNMV Working Paper No. 44 (2010)
Number of pages: 68 Posted: 12 Jun 2019
Working Paper Series
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)

Multiple version iconThere are 4 versions of this paper

Downloads 5
4.

Towards a Common European Monetary Union Risk Free Rate

CNMV Working Paper No. 51 (2011)
Number of pages: 56 Posted: 12 Jun 2019
Accepted Paper Series
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)

Multiple version iconThere are 2 versions of this paper

Downloads 4
5.

Credit-Valuation in the Sovereing CDS and Bonds Markets: Evidence from the Euro Area Crisis

CNMV Working Paper No. 53 (2012)
Number of pages: 44 Posted: 12 Jun 2019
Accepted Paper Series
CNMV, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 4
6.

Rethinking Capital Regulation: The Case for Dividend Prudential Target

CNMV Working Paper No. 68, December 2018
Number of pages: 72 Posted: 10 Jun 2019
Working Paper Series
Spanish Ministry for Economy and Business
Downloads 5
7.

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

CNMV Working Paper No. 67 (2017)
Number of pages: 42 Posted: 10 Jun 2019
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 6
8.

Measuring Liquidity of Spanish Debt

CNMV Working Paper No. 66 (2017)
Number of pages: 54 Posted: 10 Jun 2019
Working Paper Series
Comisión Nacional de Mercado de Valores, Independent and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 4
9.

Why Is Investors' Mutual Fund Market Allocation Far from the Optimum?

CNMV Working Paper No. 65 (2017)
Number of pages: 42 Posted: 10 Jun 2019
Working Paper Series
Centro Universitario de la Defensa de Zaragoza and Comision Nacional del Mercado de Valores
Downloads 3
10.

The Financial Institutions Incentives When They Place Financial Assets With Credit Risk to Retail Investors

CNMV Working Paper No. 43
Number of pages: 42 Posted: 10 Jun 2019
Working Paper Series
Comision Nacional del Mercado de Valores

Multiple version iconThere are 2 versions of this paper

Downloads 2
11.

Interest Rates and Credit Risk

CNMV Working Paper No. 46
Number of pages: 52 Posted: 10 Jun 2019
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV) and Centre for Monetary and Financial Studies (CEMFI)
Downloads 6
12.

Spanish Mutual Funds Yield: An Analysis of Its Determinants

CNMV Working Paper No. 48
Number of pages: 46 Posted: 10 Jun 2019
Working Paper Series
Comisión Nacional de Mercado de Valores
Downloads 2
13.

Access of SMEs With Growth Potential to the Capital Markets

CNMV Working Paper No. 52
Number of pages: 52 Posted: 10 Jun 2019
Working Paper Series
CNMV, Comisión Nacional del Mercado de Valores (CNMV) and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 2
14.

The Credit Default Swaps Market: Areas of Vulnerability and Regulatory Responses

CNMV Working Paper No. 42
Number of pages: 56 Posted: 10 Jun 2019
Working Paper Series
CNMV, Comisión Nacional del Mercado de Valores (CNMV) and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 2
15.

On the Role of Transparency in the ABS Secondary Market

CNMV Working Paper No. 38
Number of pages: 46 Posted: 09 Jun 2019
Working Paper Series
Comision Nacional del Mercado de Valores

Multiple version iconThere are 2 versions of this paper

Downloads 3
16.

Could Regulation of the ABS Secondary Market Improve Social Welfare?

CNMV Working Paper No. 37
Number of pages: 48 Posted: 09 Jun 2019
Working Paper Series
Comision Nacional del Mercado de Valores

Multiple version iconThere are 2 versions of this paper

Downloads 4
17.

Managerial Ability, Risk Preferences and the Incentives for Active Management

CNMV Working Paper No. 62, March 2016
Number of pages: 46 Posted: 07 Jun 2019
Working Paper Series
Comision Nacional del Mercado de Valores

Multiple version iconThere are 2 versions of this paper

Downloads 2
18.

High Yield Bond Market: Features and Risks of a Growing Market

CNMV Working Paper No. 61 April 2015
Number of pages: 42 Posted: 07 Jun 2019
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 6
19.

A Spanish Financial Market Stress Indicator (FMSI)

CNMV Working Paper No. 60 April 2015
Number of pages: 52 Posted: 07 Jun 2019
Working Paper Series
Comisión Nacional de Mercado de Valores and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 4
20.

Network-Based Measures As Leading Indicators of Market Instability: The Case of the Spanish Stock Market

CNMV Working Paper No 59, March 2015
Number of pages: 62 Posted: 07 Jun 2019
Working Paper Series
CNMV

Multiple version iconThere are 2 versions of this paper

Downloads 6
21.

The Subprime Crisis: Some Lessons for Financial Supervisors

CNMV Working Paper No. 31, 2008
Number of pages: 39 Posted: 07 Jun 2019
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 1
22.

Evidence from Purchases and Redemptions in the Spanish Equity Fund Market

CNMV Working Paper No. 56, November 2013
Number of pages: 52 Posted: 07 Jun 2019
Working Paper Series
Comisión Nacional de Mercado de Valores and Comision Nacional del Mercado de Valores
Downloads 1
23.

Speed and Biases of Fourier-Based Pricing Choices: Analysis of the Bates and Asymmetric Variance Gamma Models

CNMV Working Paper No. 64, 2017
Number of pages: 46 Posted: 07 Jun 2019 Last Revised: 15 Jun 2019
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 5
24.

The Nature of Volatility Spillovers Across the International Capital Markets

CNMV Working Paper No. 63, 2016
Number of pages: 64 Posted: 07 Jun 2019
Working Paper Series
CNMV

Multiple version iconThere are 2 versions of this paper

Downloads 2
25.

An Analyisis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab

CNMV Working Paper No. 58, 2014
Number of pages: 46 Posted: 07 Jun 2019
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 8
26.

Competition and Structure of the Mutual Fund Industry in Spain: The Role of Credit Institutions

CNMV Working Paper No. 54, 2012
Number of pages: 44 Posted: 07 Jun 2019
Working Paper Series
Comisión Nacional de Mercado de Valores and Comision Nacional del Mercado de Valores

Multiple version iconThere are 2 versions of this paper

Downloads 3