Ricardo Crisóstomo

Comisión Nacional del Mercado de Valores (CNMV)

C/ Edison, 4

Madrid, Madrid 28006

Spain

National Distance Education University (UNED)

Calle Bravo Murillo, 38

Madrid , Madrid 28015

Spain

  • Comisión Nacional del Mercado de Valores (CNMV)

SCHOLARLY PAPERS

9

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14

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12

Scholarly Papers (9)

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1.

An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab

Downloads 788 (49,301)
Citation 6

An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab

CNMV Working Paper No 58
Number of pages: 34 Posted: 20 Nov 2014 Last Revised: 29 Jul 2016
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 512 (84,991)
Citation 3

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Stochastic volatility, Heston, Black-Scholes biases, calibration, characteristic functions

An Analyisis of the Heston Stochastic Volatility Model: Implementation and Calibration Using Matlab

CNMV Working Paper No. 58, 2014
Number of pages: 46 Posted: 07 Jun 2019
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 276 (170,383)
Citation 3

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Stochastic volatility, Heston, Black-Scholes biases, calibration, character-istic functions

2.

ETFs and Financial Stability: A Compendium of Possible Risk Sources

CNMV Bulletin, Quarter IV, 2018, pages 71-82
Number of pages: 10 Posted: 06 Mar 2019 Last Revised: 28 Apr 2019
Ricardo Crisóstomo and Jorge Medina Sanchez-Seco
Comisión Nacional del Mercado de Valores (CNMV) and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 201 (232,242)

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ETFs; Systemic Risk; Financial Stability

3.

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

Downloads 176 (261,119)
Citation 4

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

Journal of Forecasting. Doi.org/10.1002/for.2521
Number of pages: 25 Posted: 11 Sep 2017 Last Revised: 03 Feb 2020
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 125 (345,312)

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Probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

CNMV Working Paper No. 67 (2017)
Number of pages: 42 Posted: 10 Jun 2019
Ricardo Crisóstomo and Lorena Couso
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management
Downloads 51 (591,451)
Citation 5

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probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation

4.

Financial Contagion with Spillover Effects: A Multiplex Network Approach

Downloads 167 (273,243)

Financial Contagion with Spillover Effects: A Multiplex Network Approach

ESRB Working Paper Series No 32
Number of pages: 27 Posted: 19 Jan 2016 Last Revised: 22 Dec 2016
Gustavo Peralta, Gustavo Peralta and Ricardo Crisóstomo
Universidad Carlos III de MadridCNMV and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 133 (329,468)

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Multiplex networks; financial contagion; spillover effects, financial regulation; systemic risk; simulations.

Financial Contagion with Spillover Effects: A Multiplex Network Approach

ESRB: Working Paper Series No. 2016/32
Number of pages: 27 Posted: 05 Nov 2020
Gustavo Peralta, Gustavo Peralta and Ricardo Crisóstomo
Universidad Carlos III de MadridCNMV and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 34 (693,926)
Citation 1

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multiplex networks, financial contagion, spillover effects, financial regulation, systemic risk, simulations

5.

Estimating Real-world Probabilities: a Forward-looking Behavioral Framework

Downloads 125 (343,954)
Citation 1

Estimating Real-world Probabilities: a Forward-looking Behavioral Framework

Number of pages: 35 Posted: 18 Dec 2020 Last Revised: 26 Jan 2021
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 76 (481,614)

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Sentiment, density forecasts, pricing kernel, options data, behavioral finance

Estimating Real World Probabilities: A Forward-Looking Behavioral Framework

CNMV Working Paper No. 73
Number of pages: 52 Posted: 27 Jan 2021 Last Revised: 11 Feb 2021
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 49 (602,124)
Citation 1

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models, risk-preference, behavioral

6.

Speed and Biases of Fourier-Based Pricing Choices: A Numerical Analysis

Downloads 110 (376,978)
Citation 2

Speed and Biases of Fourier-Based Pricing Choices: A Numerical Analysis

International Journal of Computer Mathematics. https://doi.org/10.1080/00207160.2017.1322691
Number of pages: 20 Posted: 28 Jul 2016 Last Revised: 13 May 2018
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 91 (431,614)
Citation 3

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Jump processes, Bates model, Variance Gamma, Fourier transforms, pricing errors, speed comparisons

Speed and Biases of Fourier-Based Pricing Choices: Analysis of the Bates and Asymmetric Variance Gamma Models

CNMV Working Paper No. 64, 2017
Number of pages: 46 Posted: 07 Jun 2019 Last Revised: 15 Jun 2019
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 19 (811,858)

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Jump processes, Bates model, Variance Gamma, Fourier transforms, pricing errors, speed comparisons

7.

Measuring Transition Risk in Investment Funds

Downloads 95 (416,254)

Measuring Transition Risk in Investment Funds

CNMV Working Paper No. 81
Number of pages: 25 Posted: 21 Oct 2022 Last Revised: 16 Jan 2023
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 51 (591,451)

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Climate change, Low-carbon transition, Asset allocation, Investment funds, NGFS scenarios

Measuring Transition Risk in Investment Funds (Presentation Slides)

Number of pages: 10 Posted: 11 Jan 2023 Last Revised: 31 Jan 2023
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 44 (630,266)

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climate change, low-carbon transition, Asset allocation, Investment funds, NGFS scenarios

8.

Forecasting realized densities (Presentation slides)

Number of pages: 88 Posted: 23 Nov 2022
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 36 (663,240)

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9.

Forecasting realized densities: A comparison of historical, risk-neutral, risk-adjusted and sentiment-based transformations

Number of pages: 53 Posted: 23 Nov 2022
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 32 (688,711)

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