Marcela Valenzuela

University of Chile

Pío Nono Nº1, Providencia

Santiago, R. Metropolitana 7520421

Chile

SCHOLARLY PAPERS

6

DOWNLOADS
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Top 17,488

in Total Papers Downloads

2,168

CITATIONS
Rank 36,192

SSRN RANKINGS

Top 36,192

in Total Papers Citations

5

Scholarly Papers (6)

1.

Model Risk of Risk Models

Journal of Financial Stability, Forthcoming
Number of pages: 33 Posted: 18 Apr 2014 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, University of Chile and Federal Reserve Board
Downloads 942 (18,377)
Citation 3

Abstract:

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

2.

Learning from History: Volatility and Financial Crises

FEDS Working Paper No. 2016-093
Number of pages: 45 Posted: 21 Nov 2016
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 827 (22,258)

Abstract:

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

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, University of Chile and Federal Reserve Board
Downloads 189 (130,455)

Abstract:

Systemic risk, macroprudential policy, financial stability, risk management

4.

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
University of Chile, Federal Reserve Board, London School of Economics & Political Science (LSE) - Department of Statistics and Vienna University of Technology
Downloads 72 (268,007)

Abstract:

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

5.

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
University of Chile and Federal Reserve Board
Downloads 52 (305,338)
Citation 2

Abstract:

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

6.

Implied Correlation and Market Returns

Number of pages: 45 Posted: 29 Feb 2016
Alejandro Bernales and Marcela Valenzuela
Banque de France and University of Chile
Downloads 0 (248,182)

Abstract: