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Accurate of VaR calculated using empirical models of the term structure
Abad, Pilar; Benito, Sonia - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 811-832
Persistent link: https://www.econbiz.de/10003911243
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A review of the state of the art in quantifying operational risk
Benito, Sonia; Martín, Carmen López - In: The journal of operational risk 13 (2018) 4, pp. 89-129
Persistent link: https://www.econbiz.de/10011976061
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Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)
Benito, Sonia; López-Martín, Carmen; Navarro, Mª Ángeles - In: Risk management : an international journal 25 (2023) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10013490818
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The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions
Abad, Pilar; Alsakka, Rasha; Ap Gwilym, Owain - In: Journal of international money and finance 85 (2018), pp. 40-57
Persistent link: https://www.econbiz.de/10012000377
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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
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Intra-industry transfer effects of credit risk news : rated versus unrated rivals
Abad, Pilar; Ferreras, R.; Robles-Fernández, M. Dolores - In: The British accounting review : the journal of the … 52 (2020) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012175290
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Crossing boundaries beyond the investment grade : induced trading by rating-contingent investment constraints
Abad, Pilar; Díaz Pérez, Antonio; Escribano, Ana; … - In: The journal of corporate finance : contracting, … 67 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013209781