Alejandro Balbás

Universidad Carlos III de Madrid - Department of Business Administration

Calle Madrid 126

Getafe, Madrid, Madrid 28903

Spain

SCHOLARLY PAPERS

9

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SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

Measuring Risk When Expected Losses are Unbounded

Risks 2014, 2(4), 411-424
Number of pages: 14 Posted: 19 Apr 2015
Alejandro Balbás, Iván Blanco and José Garrido
Universidad Carlos III de Madrid - Department of Business Administration, CUNEF and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 328 (93,638)

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heavy tail, risk measures, representation theorem, applications

2.

Financial Innovation and Arbitrage in the Spanish Bond Market

EFMA 2001 Lugano Meetings
Number of pages: 16 Posted: 04 Apr 2001
Alejandro Balbás and Susana López
Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 238 (131,623)

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3.

Price Inefficiencies in Commodities-Linked Derivatives Markets: A Model-Free Analysis

Number of pages: 31 Posted: 20 Nov 2008
Alejandro Balbás, Anna Downarowicz and Javier Gil-Bazo
Universidad Carlos III de Madrid - Department of Business Administration, affiliation not provided to SSRN and Universitat Pompeu Fabra
Downloads 174 (176,438)
Citation 1

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commodities-linked derivatives, price effciency, options markets, portfolio global dominance

4.

The Effectiveness of Several Market Integration Measures When Facing a Market Turmoil

Number of pages: 38 Posted: 28 Nov 2001
Alejandro Balbás, Ángel Pardo Tornero and Vicente Meneu
Universidad Carlos III de Madrid - Department of Business Administration, University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 125 (231,483)

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market integration, statistical techniques, principles of asset valuation, arbitrage, IBEX-35, futures contract

5.

Market Imperfections, Discount Factors and Global Dominance: An Empirical Analysis with Oil-Linked Derivatives

Number of pages: 33 Posted: 26 Feb 2008
Alejandro Balbás, Anna Downarowicz and Javier Gil-Bazo
Universidad Carlos III de Madrid - Department of Business Administration, affiliation not provided to SSRN and Universitat Pompeu Fabra
Downloads 117 (243,149)

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Stochastic Discount Factor, Markets with Frictions, Oil-Linked Derivatives

6.

Good Deal Indices in Asset Pricing: Actuarial and Financial Implications

Number of pages: 31 Posted: 01 Feb 2017
Alejandro Balbás, José Garrido and Ramin Okhrati
Universidad Carlos III de Madrid - Department of Business Administration, Concordia University, Quebec - Department of Mathematics & Statistics and University of Southampton - School of Mathematics
Downloads 35 (455,392)

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Risk Measure, Compatibility between Prices and Risks, Good Deal Size Measurement, Actuarial and Financial Implications

7.

Outperforming Benchmarks with Their Derivatives: Theory and Empirical Evidence

Journal of Risk, Vol. 18, No. 4, 2016
Number of pages: 28 Posted: 15 Jun 2016
Alejandro Balbás, Beatriz Balbas and Raquel Balbás
Universidad Carlos III de Madrid - Department of Business Administration, University of Castilla-La Mancha and Universidad Complutense de Madrid (UCM)
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market efficiency, derivative pricing, risk measure, conditional value-at-risk (CVaR), good deal

8.

Integration and Arbitrage in the Spanish Financial Markets: An Empirical Approach

The Journal of Futures Markets, Vol. 20, No. 4, pp. 321-344, 2000
Posted: 30 Aug 2007
Universidad Carlos III de Madrid - Department of Business Administration, Stockholm University - Stockholm Business School and University of Valencia - Department of Financial Economics

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9.

How Financial Theory Applies to Catastrophe-Linked Derivatives. An Empirical Test of Several Pricing Models

The Journal of Risk and Insurance, Vol. 66, No. 4, pp. 551-582, 1999
Posted: 30 Aug 2007
Universidad Carlos III de Madrid - Department of Business Administration, Stockholm University - Stockholm Business School and University of Valencia - Faculty of Economics

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