Juan Angel Lafuente

Universitat Jaume I de Castelló

Spain

SCHOLARLY PAPERS

4

DOWNLOADS

219

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Determinants of the Multiple-Term Structures from Interbank Rates

Number of pages: 41 Posted: 21 Jun 2015
Juan Angel Lafuente, Nuria Petit and Pedro Serrano
Universitat Jaume I de Castelló, University Complutense of Madrid and University Carlos III of Madrid - Department of Business Administration
Downloads 110 (458,599)
Citation 3

Abstract:

Loading...

Basis swap, noise measure, credit risk, liquidity risk, capital arbitrage

2.

Dissecting Interbank Risk

Number of pages: 39 Posted: 04 Oct 2016 Last Revised: 07 Oct 2016
Juan Angel Lafuente, Nuria Petit, Jesús Ruiz and Pedro Serrano
Universitat Jaume I de Castelló, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and University Carlos III of Madrid - Department of Business Administration
Downloads 102 (483,950)

Abstract:

Loading...

Interbank risk, basis swap, systemic risk, liquidity, particle filter

3.

The Exposure of Treasury Bond Returns to Stock Market Returns: The Cases of the U.S. And Spain

Number of pages: 51 Posted: 09 May 2024
Juan Angel Lafuente, Gonzalo Rubio and Belen Nieto
Universitat Jaume I de Castelló, affiliation not provided to SSRN and University of Alicante
Downloads 7 (1,086,684)

Abstract:

Loading...

Treasury bond market betas, output growth, interest rates, growth-inflation correlation, growth-interest rate correlation, debt-to-GDP ratio

4.

The Impact of Distressed Economies in the EU Sovereign Market

Journal of Banking and Finance, Vol. 37, No. 7, 2013
Posted: 29 Mar 2012 Last Revised: 21 Oct 2017
Jonatan Groba, Juan Angel Lafuente and Pedro Serrano
Strategic Link, Universitat Jaume I de Castelló and University Carlos III of Madrid - Department of Business Administration

Abstract:

Loading...

Sovereign CDS, volatility transmission, default risk premium