Publicaciones (30) Publicaciones de SONIA BENITO MUELA

2023

  1. Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)

    Risk Management, Vol. 25, Núm. 1

  2. Gestion del riesgo de mercado: métodos avanzados para su cuantificación y control coord.

    UNED - Universidad Nacional de Educación a Distancia

2022

  1. A comparison of market risk measures from a twofold perspective: accurate and loss function

    ACRN Journal of Finance and Risk Perspectives, Vol. 11, Núm. 1, pp. 79-104

  2. A cryptocurrency empirical study focused on evaluating their distribution functions

    International Review of Economics and Finance, Vol. 79, pp. 387-407

2021

  1. Efficiency in cryptocurrency markets: new evidence

    Eurasian Economic Review, Vol. 11, Núm. 3, pp. 403-431

2020

  1. Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying

    Research in International Business and Finance, Vol. 54

2018

  1. A review of the state of the art in quantifying operational risk

    Journal of Operational Risk, Vol. 13, Núm. 4, pp. 89-129

  2. Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)

    Documentos de Trabajo (ICAE)

  3. Role of choice of threshold on the estimation of market risk under the pot method (EVT)

    Contributions to risk analysis: risk 2018 (Fundación MAPFRE), pp. 51-59

2017

  1. An application of extreme value theory in estimating liquidity risk

    European Research on Management and Business Economics, Vol. 23, Núm. 3, pp. 157-164

2014

  1. A comprehensive review of Value at Risk methodologies

    The Spanish Review of Financial Economics, Vol. 12, Núm. 1, pp. 15-32

  2. Evaluating asymmetric effect in skewness and kurtosis

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

  3. Role of the loss function in the VaR comparison

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

2013

  1. A comprehensive review of value at risk methodologies

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]

  2. A detailed comparison of value at risk estimates

    Mathematics and Computers in Simulation, Vol. 94, pp. 258-276

  3. Evaluando efectos asimétricos en la asimetría y curtosis de la distribución condicional de los rendimientos financieros

    Cuadernos de Ciencias Económicas y Empresariales, Núm. 65

  4. Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis

    Documentos de Trabajo (ICAE)

2012

  1. Irracionalidad y concentración de riesgos en banca. Introducción de un coeficiente limitador de la concentración de riesgos

    Boletín económico de ICE, Información Comercial Española, Núm. 3028, pp. 51-59

2010

  1. Variance Reduction technique for calculating value at risk in fixed income portfolios

    Sort: Statistics and Operations Research Transactions, Vol. 34, Núm. 1, pp. 21-44

2009

  1. A Detailed Comparison of Value at Risk in International Stock Exchanges

    Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]