Alfonso Novales Cinca

Universidad Complutense de Madrid

Professor

Campus of Somosaguas

Madrid

Spain

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 35,774

SSRN RANKINGS

Top 35,774

in Total Papers Downloads

1,447

SSRN CITATIONS
Rank 49,615

SSRN RANKINGS

Top 49,615

in Total Papers Citations

6

CROSSREF CITATIONS

6

Scholarly Papers (15)

1.

State-Uncertainty Preferences and the Risk Premium in the Exchange Rate Market

Number of pages: 25 Posted: 07 Mar 2009
Juan-Angel Jiménez-Martin and Alfonso Novales Cinca
Complutense University of Madrid and Universidad Complutense de Madrid
Downloads 268 (129,220)
Citation 3

Abstract:

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risk premium, taste shocks, fundamental uncertainty

2.

Basis Risk in Hedging a CDS Portfolio with Credit Indices

Number of pages: 32 Posted: 24 Dec 2015
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 216 (159,617)

Abstract:

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CDS, Credit Indices, Credit Hedge, Basis Risk

3.

Credit Risk Decomposition for Asset Allocation

The Capco Institute Journal of Financial Transformation. Nº 43
Number of pages: 16 Posted: 28 May 2016
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 125 (254,534)

Abstract:

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Credit Risk, Systemic Risk, Sectorial Risk, Idiosyncratic Risk, Asset Allocation

4.

Econometric Models of Credit Spreads

Number of pages: 61 Posted: 24 Dec 2015
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 112 (275,706)

Abstract:

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Credit Spread Curve, Asset Pricing, Hierarchical Regression, Quantile Regression

5.

Forward-Looking Asset Correlations in the Estimation of Economic Capital

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 47 Posted: 24 Dec 2015 Last Revised: 16 Apr 2019
Alvaro Chamizo, Alexandre Fonollosa and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA), BBVA and Universidad Complutense de Madrid
Downloads 95 (308,038)

Abstract:

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Forward Asset Correlation, Economic Capital, Asset Allocation, Systemic Risk

6.

Looking Through Systemic Risk: Determinants, Stress Testing and Market Value

Number of pages: 38 Posted: 28 Sep 2016
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 94 (310,174)
Citation 2

Abstract:

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Credit Risk, Systemic Risk, Sectorial Risk, Risk Factors, Stress Tests, Factor Models

7.

Backtesting Extreme Value Theory Models of Expected Shortfall

Number of pages: 52 Posted: 24 Aug 2017
Alfonso Novales Cinca and Laura Garcia-Jorcano
Universidad Complutense de Madrid and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Downloads 92 (314,426)

Abstract:

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Extreme Value Theory, Skewed distributions, Expected Shortfall, Backtesting, Filtered Historical Simulation

8.

Long-Term Swings and Seasonality in Energy Markets

Number of pages: 43 Posted: 04 Jun 2016
Manuel Moreno, Alfonso Novales Cinca and Federico Platania
University of Castilla-La Mancha, Universidad Complutense de Madrid and University of Liège
Downloads 92 (314,426)
Citation 4

Abstract:

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Fourier series, Energy Markets, Seasonality, Periodic fluctuations, Long-term swing

9.

The Information Content in a Volatility Index for Spain

Number of pages: 45 Posted: 21 Nov 2008 Last Revised: 22 Jun 2016
Alfonso Novales Cinca and Maria T. Gonzalez-Perez
Universidad Complutense de Madrid and Bank of Spain
Downloads 88 (323,384)

Abstract:

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volatility index, forecasting, returns

10.

Why a Volatility Index Can Be Useful in the Spanish Financial Market?

Number of pages: 30 Posted: 09 Sep 2009
Maria T. Gonzalez-Perez and Alfonso Novales Cinca
Bank of Spain and Universidad Complutense de Madrid
Downloads 68 (375,182)

Abstract:

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volatility index, volatility forecasting, options, returns

11.

Sectorial Asset Allocation 2006-2012

Number of pages: 40 Posted: 24 Dec 2015
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 60 (400,006)
Citation 1

Abstract:

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Credit Risk, Systemic Risk, Sectorial Risk, Idiosyncratic Risk, Asset Allocation

12.

Volatility Specifications Versus Probability Distributions in VAR Forecasting

Number of pages: 44 Posted: 24 Aug 2017
Alfonso Novales Cinca and Laura Garcia-Jorcano
Universidad Complutense de Madrid and Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics)
Downloads 56 (413,656)
Citation 1

Abstract:

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Value-at-risk, backtesting, evaluating forecasts, dominance, APARCH model, asymmetric distributions

13.

Basis Risk When Hedging a Global Credit Portfolio

Number of pages: 35 Posted: 06 Nov 2017
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 47 (446,469)

Abstract:

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CDS, Credit Indices, Credit Hedge, Basis Risk

14.

Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components

Number of pages: 44 Posted: 07 Feb 2019 Last Revised: 16 Apr 2019
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 26 (546,183)

Abstract:

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Credit Risk, Systemic Risk, Sectorial Risk, Idiosyncratic Risk, Asset Allocation

15.

Market Risk When Hedging a Global Credit Portfolio

Number of pages: 32 Posted: 07 Feb 2019 Last Revised: 16 Apr 2019
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Downloads 8 (667,787)

Abstract:

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Market Risk, CDS, Credit Indices, Credit Hedge, CVA