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CNMV: Working Papers (Topic)

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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 25
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 10
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 10
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 7
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 28
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 9
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 10
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 14
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 6
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 97
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 15
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 4
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 52
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 12
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 7
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 15
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 42
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 8
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 11
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 12
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 4
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)

Multiple version iconThere are 2 versions of this paper

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 6
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)

Multiple version iconThere are 2 versions of this paper

Downloads 79
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 18