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

11

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2,651

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25

Scholarly Papers (11)

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1.

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

Downloads 998 (49,811)
Citation 7

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 645 (87,921)
Citation 4

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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 353 (181,775)
Citation 3

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

2.

Measuring Transition Risk in Investment Funds (Presentation Slides)

Downloads 272 (242,214)
Citation 2

Measuring Transition Risk in Investment Funds (Presentation Slides)

Number of pages: 10 Posted: 11 Jan 2023 Last Revised: 14 Apr 2023
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 103 (569,128)

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

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 90 (623,436)

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

Measuring Transition Risk in Investment Funds

CNMV Working Paper No. 81
Number of pages: 41 Posted: 01 Jun 2023
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 79 (675,755)
Citation 2

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

3.

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 268 (245,800)

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ETFs; Systemic Risk; Financial Stability

4.

Financial Contagion with Spillover Effects: A Multiplex Network Approach

Downloads 257 (256,439)
Citation 4

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
Charles III University of MadridCNMV and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 171 (376,216)

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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
Charles III University of MadridCNMV and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 86 (641,744)
Citation 4

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

5.

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

Downloads 235 (280,233)
Citation 7

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 165 (388,370)

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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 70 (724,628)
Citation 7

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

6.

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

Downloads 201 (325,347)
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 126 (486,753)

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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 75 (696,475)
Citation 1

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models, risk-preference, behavioral

7.

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

Downloads 199 (328,414)
Citation 3

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 154 (412,448)
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 45 (907,329)

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

8.

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 83 (647,695)

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9.

Forecasting realized densities (Presentation slides)

Number of pages: 88 Posted: 23 Nov 2022
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 73 (696,846)

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10.

Quantifying firm-level risks from nature deterioration 

Number of pages: 28 Posted: 13 Dec 2024 Last Revised: 03 Mar 2025
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 40 (931,969)
Citation 1

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Environmental degradation, nature-related financial risks, climate change, ecosystem services, tipping points

11.

Quantifying firm-level risks from nature deterioration (Presentation Slides)

Number of pages: 23 Posted: 28 Apr 2025
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 25 (1,093,373)

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Environmental degradation, Nature-related financial risks, Climate change, Ecosystem services, Tipping points