Juan Angel Lafuente

Jaume I University

Castellon

E-12071 Castello de la Plana

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

95

CITATIONS

0

Scholarly Papers (3)

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
Jaume I University, University Complutense of Madrid and University Carlos III of Madrid - Department of Business Administration
Downloads 17 (354,761)

Abstract:

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
Jaume I University, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and University Carlos III of Madrid - Department of Business Administration
Downloads 0 (330,208)

Abstract:

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

3.

The Impact of Distressed Economies in the EU Sovereign Market

Posted: 29 Mar 2012
Jonatan Groba, Juan Angel Lafuente and Pedro Serrano
Lancaster University - Department of Accounting and Finance, Jaume I University and University Carlos III of Madrid - Department of Business Administration

Abstract:

Sovereign CDS, volatility transmission, default risk premium