Marcela Valenzuela

Pontificia Universidad Católica de Chile

Vicuña Mackenna 4860

Santiago, R. Metropolitana 7520421

Chile

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 14,236

SSRN RANKINGS

Top 14,236

in Total Papers Downloads

3,694

SSRN CITATIONS
Rank 23,335

SSRN RANKINGS

Top 23,335

in Total Papers Citations

20

CROSSREF CITATIONS

17

Scholarly Papers (12)

1.

Learning from History: Volatility and Financial Crises

Review of Financial Studies, Forthcoming, FEDS Working Paper No. 2016-093
Number of pages: 47 Posted: 21 Nov 2016
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,570 (12,038)
Citation 10

Abstract:

Loading...

Stock market volatility, Financial crises predictability, Volatility paradox, Minsky hypothesis, Financial instability, Risk-taking

2.

Model Risk of Risk Models

Journal of Financial Stability, Forthcoming, FEDS Working Paper No. 2014-34
Number of pages: 33 Posted: 18 Apr 2014 Last Revised: 01 Jun 2017
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,096 (20,975)
Citation 15

Abstract:

Loading...

Value-at-Risk, systemic risk, CoVaR, MES, financial stability, Basel III

3.

Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 27 Posted: 19 Nov 2015 Last Revised: 16 Feb 2016
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 253 (132,394)
Citation 3

Abstract:

Loading...

Systemic risk, macroprudential policy, financial stability, risk management

4.

The Efficient IPO Market Hypothesis: Theory and Evidence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 63 Posted: 27 Jan 2019 Last Revised: 25 Jun 2019
Kevin R. James and Marcela Valenzuela
London School of Economics & Political Science (LSE) - Systemic Risk Centre and Pontificia Universidad Católica de Chile
Downloads 184 (179,045)

Abstract:

Loading...

Initial Public Offerings, Underwriters, IPO Underpricing, Efficient Markets Hypothesis

5.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Universidad de Chile and Pontificia Universidad Católica de Chile
Downloads 150 (213,361)
Citation 2

Abstract:

Loading...

6.

Financial Risk and Economic Growth, 1870–2016

Number of pages: 36 Posted: 01 Jan 2020 Last Revised: 20 Jul 2020
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 138 (228,115)

Abstract:

Loading...

Financia volatility, economic growth, credit booms

7.

Relative Liquidity and Future Volatility

Journal of Financial Markets, Forthcoming, FEDS Working Paper 2014-45
Number of pages: 37 Posted: 29 Jun 2014 Last Revised: 28 Feb 2015
Pontificia Universidad Católica de Chile, Board of Governors of the Federal Reserve System, London School of Economics & Political Science (LSE) - Department of Statistics and Vienna University of Technology
Downloads 88 (313,239)

Abstract:

Loading...

order-driven markets, limit order book distribution, volatility predictability, liquidity

8.

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

SAFE Working Paper No. 234
Number of pages: 49 Posted: 05 Nov 2018 Last Revised: 02 Jul 2020
Universidad de Chile, University of Chile, Goethe University Frankfurt - Department of Finance, Pontificia Universidad Católica de Chile and University of Vienna - Department of Finance
Downloads 78 (336,857)
Citation 7

Abstract:

Loading...

Fragmentation, Competition, Liquidity, Price Efficiency

9.

Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 02 Aug 2012 Last Revised: 04 May 2013
Marcela Valenzuela and Ilknur Zer
Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 63 (378,354)

Abstract:

Loading...

Limit Order Book, Order Aggressiveness, Order-Driven Markets, Walking through the Book, Competition, Signaling

10.

Dark Pools under Different Execution Priority, Adverse Selection and Traders' Competition

Number of pages: 47 Posted: 31 Mar 2020
Universidad de Chile, University of Leicester - School of Business, University of Leicester - School of Business and Pontificia Universidad Católica de Chile
Downloads 39 (465,290)

Abstract:

Loading...

Dark pool; limit order market; execution priority; adverse selection; competition of traders; market quality; welfare

11.

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Number of pages: 37 Posted: 27 Feb 2019
Alejandro Bernales, Louisa Chen and Marcela Valenzuela
Universidad de Chile, University of Sussex and Pontificia Universidad Católica de Chile
Downloads 35 (483,043)
Citation 1

Abstract:

Loading...

Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model

12.

Low Risk as a Predictor of Financial Crises

FEDS Notes No. 2018-05-09
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System

Abstract:

Loading...