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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

13

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3,374

TOTAL CITATIONS
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Top 29,598

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27

Scholarly Papers (13)

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1.

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

Downloads 1,058 (52,517)
Citation 8

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 680 (93,839)
Citation 5

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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 378 (193,795)
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 369 (205,787)
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 138 (548,793)

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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 125 (590,717)
Citation 2

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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 106 (663,926)

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

3.

Financial Contagion with Spillover Effects: A Multiplex Network Approach

Downloads 291 (260,469)
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 175 (429,933)

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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 116 (616,074)
Citation 4

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

4.

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 288 (264,351)

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ETFs; Systemic Risk; Financial Stability

5.

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

Downloads 264 (288,370)
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 178 (423,194)

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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 86 (773,441)
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 244 (312,643)
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 151 (491,163)

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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 93 (732,131)
Citation 1

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models, risk-preference, behavioral

7.

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

Downloads 232 (328,850)
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 173 (434,419)
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 59 (986,385)

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

8.

Large Language Models and Stock Investing: Is the Human Factor Required?

Downloads 165 (500,001)

Large Language Models and Stock Investing: Is the Human Factor Required?

Number of pages: 33 Posted: 13 Apr 2026 Last Revised: 17 Apr 2026
Ricardo Crisóstomo and Diana Mykhalyuk
Comisión Nacional del Mercado de Valores (CNMV) and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 127 (602,987)

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Artificial Intelligence, Asset Pricing, Financial Analysis, Human-in-the Loop, Retail Investors

Large Language Models and Stock Investing: Is the Human Factor Required?

CNMV Working Paper No. 96
Number of pages: 39 Posted: 20 Apr 2026 Last Revised: 27 Apr 2026
Ricardo Crisóstomo and Diana Mykhalyuk
Comisión Nacional del Mercado de Valores (CNMV) and Comisión Nacional del Mercado de Valores (CNMV)
Downloads 38 (1,371,100)

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Artificial intelligence, Asset pricing, Financial analysis, Human-in-the-loop, Retail investors

9.

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 107 (664,543)

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

10.

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 103 (679,608)

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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 92 (742,061)
Citation 1

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

12.

Forecasting realized densities (Presentation slides)

Number of pages: 88 Posted: 23 Nov 2022
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 85 (771,553)

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13.

Quantifying Firm-Level Risks from Nature Deterioration

CNMV Working Paper No. 90
Number of pages: 40 Posted: 18 Jul 2025
Ricardo Crisóstomo
Comisión Nacional del Mercado de Valores (CNMV)
Downloads 76 (860,052)
Citation 1

Abstract:

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