Javier Mencia

Banco de España

Alcala 50

Madrid 28014

Spain

http://www.bde.es/investigador/staff/66.htm

SCHOLARLY PAPERS

17

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2,611

CITATIONS
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Top 2,498

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194

Scholarly Papers (17)

1.
Downloads 949 ( 22,992)
Citation 16

Valuation of Vix Derivatives

Number of pages: 59 Posted: 20 Dec 2009 Last Revised: 11 Sep 2012
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 747 (31,738)

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Central Tendency, Stochastic Volatility, Jumps, Term Structure, Volatility Skews

Valuation of VIX Derivatives

Banco de Espana Working Paper No. 1232
Number of pages: 66 Posted: 20 Sep 2012
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 197 (151,822)
Citation 2

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central tendency, stochastic volatility, jumps, term structure, volatility skews

Valuation of Vix Derivatives

CEPR Discussion Paper No. DP7619
Number of pages: 50 Posted: 18 Jan 2010
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 5 (632,953)
Citation 37
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Central Tendency, Jumps, Stochastic Volatility, Term Structure, Volatility Skews

2.

A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

Banco de Espana Working Paper No. 1018
Number of pages: 26 Posted: 18 Jun 2010
University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg, Banco de España and Oesterreichische Nationalbank (OeNB)
Downloads 260 (115,829)
Citation 57

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Stress Testing, Credit Risk, Worst Case Search, Maximum Loss

3.

Modelling the Distribution of Credit Losses with Observable and Latent Factors

Number of pages: 38 Posted: 08 Feb 2007
Javier Mencia and Gabriel Jiménez
Banco de España and Banco de España
Downloads 242 (124,639)
Citation 12

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Credit risk, Probability of default, Loss distribution, Stress test, Contagion

Testing Non-Linear Dependence in the Hedge Fund Industry

Number of pages: 37 Posted: 17 May 2006 Last Revised: 17 Feb 2010
Javier Mencia
Banco de España
Downloads 186 (160,173)
Citation 39

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Generalised Hyperbolic Distribution, Correlation, Asymmetry, Multifactor Models

Testing Non-Linear Dependence in the Hedge Fund Industry

Banco de Espana Working Paper No. 1007
Number of pages: 43 Posted: 24 Mar 2010
Javier Mencia
Banco de España
Downloads 28 (483,888)
Citation 28

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Generalised Hyperbolic Distribution, Correlation, Asymmetry, Multifactor Models

Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

Number of pages: 44 Posted: 18 Feb 2008 Last Revised: 05 Apr 2009
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 139 (205,897)
Citation 14

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Generalised Hyperbolic Distribution, Maximum Likelihood, Portfolio Frontiers, Sortino Ratio, Spanning Tests, Tail Dependence

Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

Banco de Espana Working Paper No. 0909
Number of pages: 50 Posted: 09 Jun 2009
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 47 (400,555)
Citation 2

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generalized hyperbolic distribution, maximum likelihood, portfolio frontiers, Sortino ratio, spanning tests, tail dependence

6.

Assessing the Risk-Return Trade-Off in Loans Portfolios

Banco de Espana Working Paper No. 0911
Number of pages: 41 Posted: 14 Jun 2009
Javier Mencia
Banco de España
Downloads 178 (166,671)
Citation 18

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Credit risk, Probability of default, Asset Pricing, Mean-Variance allocation, Stochastic Discount Factor, Value at Risk

7.

Modeling the Distribution of Credit Losses With Observable and Latent Factors

Banco de España Research Papers, Forthcoming
Number of pages: 49 Posted: 18 Apr 2007
Javier Mencia and Gabriel Jiménez
Banco de España and Banco de España
Downloads 155 (187,754)
Citation 1

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credit risk, probability of default, loss distribution, stress test, contagion

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

Banco de España Research Paper No. WP-0707
Number of pages: 60 Posted: 29 Mar 2007
Angel Leon, Javier Mencia and Enrique Sentana
Universidad de Alicante, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 105 (254,777)
Citation 3

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kurtosis, density expansions, gram-charlier, skewness, s&p index options

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

CEPR Discussion Paper No. 5435
Number of pages: 52 Posted: 17 Apr 2006
Javier Mencia, Enrique Sentana and Angel Leon
Banco de España, Centro de Estudios Monetarios y Financieros (CEMFI) and Universidad de Alicante
Downloads 20 (532,414)
Citation 11
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Kurtosis, density expansions, Gram-Charlier, skewness, S&P index options

Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations

Number of pages: 42 Posted: 01 Apr 2009 Last Revised: 18 Jun 2010
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 47 (400,555)
Citation 1

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Bootstrap, Inequality Constraints, Kurtosis, Normality Tests, Skewness, Supremum Test, Underidentified parameters

Distributional Tests in Multivariate Dynamic Models with Normal and Student T Innovations

Banco de Espana Working Paper No. 0929
Number of pages: 64 Posted: 21 Dec 2009 Last Revised: 30 Jul 2010
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 24 (507,344)
Citation 12

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Bootstrap, Inequality Constraints, Kurtosis, Normality Tests, Skewness, Supremum Test, Underidentifed parameters

10.

An Empirical Analysis of the Impact of Ratings on the Prices and Risks of Interbank Loans

Number of pages: 34 Posted: 03 Nov 2009
Javier Mencia
Banco de España
Downloads 69 (327,613)

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Financial Networks, Default, Contagion

11.

Macroprudential Policy: Objectives, Instruments and Indicators (Política macroprudencial: objetivos, instrumentos e indicadores)

Banco de Espana Occasional Paper No. 1601
Number of pages: 26 Posted: 21 Jan 2016
Javier Mencia and Jesus Saurina Salas
Banco de España and Banco de España
Downloads 65 (338,169)
Citation 2

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early warning indicators, macroprudential policy stance, macroeconomic actual conditions

12.

Distributional Linkages between European Sovereign Bond and Bank Asset Returns

Number of pages: 48 Posted: 15 Nov 2014 Last Revised: 07 Dec 2014
Julio Galvez and Javier Mencia
Centre for Monetary and Financial Studies (CEMFI) and Banco de España
Downloads 37 (430,936)

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Quantile regressions, nonlinear dependence, counterfactual analyses, systemic risk.

13.

Empirical Assessment of Alternative Structural Methods for Identifying Cyclical Systemic Risk in Europe

Banco de Espana Working Paper No. 1825
Number of pages: 33 Posted: 07 Aug 2018
Jorge E. Galán and Javier Mencia
Banco de España and Banco de España
Downloads 19 (520,669)
Citation 39

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Credit imbalances, cyclical systemic risk, early-warning models, macroprudential policy, model-based indicators.

14.

What Drives Sovereign Debt Portfolios of Banks in a Crisis Context?

Banco de Espana Working Paper No. 1843
Number of pages: 54 Posted: 14 Dec 2018
Matias Lamas and Javier Mencia
Banco de España and Banco de España
Downloads 15 (543,831)
Citation 20

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banks’ sovereign holdings, sovereign crisis, moral hazard, central bank liquidity, EMU financial fragmentation

The Benefits and Costs of Adjusting Bank Capitalisation: Evidence From Euro Area Countries

ECB Working Paper No. 2261
Number of pages: 65 Posted: 15 Apr 2019
European Central Bank (ECB) - Directorate Financial Stability and Supervision, Bank of Italy, European Central Bank (ECB), Louvain School of Management (UCL), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Catholic University of Leuven (KUL) - Department of Economics, Banco de España, De Nederlandsche Bank, Suomen Panki, Banque de France, affiliation not provided to SSRN, Bank of Portugal, Banco de España, Central Bank of Cyprus, Bank of Lithuania, European Central Bank, Central Bank of Ireland, Bank of Slovenia, Bank of Portugal, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Central Bank of Cyprus, Bank of Italy and Central Bank of Ireland
Downloads 13 (577,854)

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FAVAR, capital regulation, cost-benefit analysis, banking system resilience

The Benefits and Costs of Adjusting Bank Capitalisation: Evidence from Euro Area Countries

Banco de Espana Working Paper No. 1923 (2019)
Number of pages: 65 Posted: 15 Jul 2019
European Central Bank (ECB) - Directorate Financial Stability and Supervision, Bank of Italy, European Central Bank (ECB), Louvain School of Management (UCL), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), National Bank of Belgium, Banco de España, De Nederlandsche Bank, Suomen Panki, Banque de France, Suomen Panki, Bank of Portugal, Banco de España, Central Bank of Cyprus, Bank of Lithuania, European Central Bank, Central Bank of Ireland, Bank of Slovenia, Bank of Portugal, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Bank of Italy, Central Bank of Cyprus and Central Bank of Ireland
Downloads 1 (675,099)

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FAVAR, capital regulation, cost-benefit analysis, banking system resilience

16.

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

CEPR Discussion Paper No. 5177
Number of pages: 54 Posted: 25 Aug 2005
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 12 (561,779)
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Inequality constraints, kurtosis, multivariate normality test, skewness, student t, supremum test, tail dependence

17.

Volatility-Related Exchange Traded Assets: An Econometric Investigation

CEPR Discussion Paper No. DP10444
Number of pages: 39 Posted: 02 Mar 2015
Javier Mencia and Enrique Sentana
Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 0 (661,222)
Citation 1
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Density Expansions, Exchange Traded Notes, Multiplicative Error Model, Volatility Index Futures