Alfonso Novales Cinca

Universidad Complutense de Madrid

Professor

Campus of Somosaguas

Madrid

Spain

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 33,765

SSRN RANKINGS

Top 33,765

in Total Papers Downloads

1,288

CITATIONS

1

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 (111,621)
Citation 1

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 167 (175,315)

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 115 (236,176)

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

4.

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 91 (276,742)

Abstract:

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

5.

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 91 (276,742)

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

6.

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 Liege
Downloads 88 (282,654)

Abstract:

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

7.

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 Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 86 (286,720)

Abstract:

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volatility index, forecasting, returns

8.

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 77 (306,362)

Abstract:

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

9.

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 72 (318,343)

Abstract:

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

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
Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF) and Universidad Complutense de Madrid
Downloads 67 (330,994)

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 53 (371,410)

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 47 (391,259)

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 42 (409,003)

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: 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 20 (511,641)

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 4 (607,709)

Abstract:

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