Silvia Mayoral Blaya

Universidad Carlos III de Madrid

CL. de Madrid 126

Madrid, Madrid 28903

Spain

SCHOLARLY PAPERS

7

DOWNLOADS

105

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (7)

1.

Calibration of Short Rate Term Structure Models from Bid-Ask Coupon Bond Prices

Physica A: Statistical Mechanics and its Applications, 492, 1456-1472. Available at: https://www.sciencedirect.com/science/article/pii/S0378437117311950
Number of pages: 17 Posted: 31 May 2017 Last Revised: 02 Apr 2019
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 80 (292,292)

Abstract:

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Zero Coupon Bond Prices, Short Rate Model Calibration, Maximum Entropy in the Mean, Non-Parametric Method

2.

Loss Data Analysis with Maximum Entropy

In book: Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer. MAF 2018, DOI: 10.1007/978-3-319-89824-7
Number of pages: 5 Posted: 27 Apr 2018 Last Revised: 03 Nov 2018
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 14 (583,631)

Abstract:

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loss distributions, sample dependence, maximum entropy

3.

Maximum Entropy Methods for Loss Data Analysis: Aggregation and Disaggregation Problems

Number of pages: 34 Posted: 03 May 2019
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 8 (623,670)

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Loss data analysis, loss data aggregation, loss data disaggregation, sample dependence of loss distributions, sample dependence of risk premia, maximum entropy method

4.

Density Reconstructions With Errors in the Data

WIth Silvia Mayoral & Henryk Gzyl. Entropy16, 3257-3272; DOI/10.3390/e16063257
Number of pages: 16 Posted: 06 Dec 2018
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 2 (668,826)

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density reconstruction; error estimation; maximum entropy

5.

Sample Dependence of Risk Premiums

Journal of Operational Risk, Forthcoming
Number of pages: 17 Posted: 30 May 2019
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 1 (680,841)
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loss distributions, sample dependence of loss distributions, sample dependence of risk premiums, Laplace transforms, fractional moments, maximum entropy

6.

A Maximum Entropy Approach to the Loss Data Aggregation Problem

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 22 Posted: 14 Jun 2016
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 0 (698,204)
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loss data analysis, loss aggregation, maximum entropy method, density reconstruction,regulatory capital, operational risk

7.

Quote Inefficiency in Options Markets

Journal of Banking and Finance, Vol. 55, 2015
Posted: 22 Nov 2015
Iñaki Rodríguez-Longarela and Silvia Mayoral Blaya
Stockholm University - Stockholm Business School and Universidad Carlos III de Madrid

Abstract:

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Inefficient quotes, Bid-ask spread, Law of one price, Index options