Juan Angel Lafuente

Jaume I University

Castellon

E-12071 Castello de la Plana, Castellón de la Plana 12071

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

126

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

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
Jaume I University, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and University Carlos III of Madrid - Department of Business Administration
Downloads 63 (361,534)

Abstract:

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

2.

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
Jaume I University, University Complutense of Madrid and University Carlos III of Madrid - Department of Business Administration
Downloads 63 (361,534)
Citation 3

Abstract:

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

3.

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, Jaume I University and University Carlos III of Madrid - Department of Business Administration

Abstract:

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Sovereign CDS, volatility transmission, default risk premium