CNMV Working Papers

From CNMV- Spanish Securities Markets Commission - Research and Statistics Department
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2024: Fragmentation price formation and liquidity of Spanish equities in a European context: María Isabel Cambón Murcia Queremon Riba Meseguer
2023: Analysys of the implementation of the Spanish Financial Transaction Tax in equity markets: Albert Martínez Pastor Ramiro Losada
2023: Spanish securities issuers and their relstionship with climate change: Albert Martínez Pastor Ramiro Losada
2023: Measuring Transition Risk in Investment Funds: Ricardo Crisóstomo
2022: Analysys of the behaviour of retail investors in the financial markets during the COVID-19 crisis: Gloria Ruiz Suarez Guillermo Cambronero Pérez
2022: Characteristics of sustainable Spanish CISs in 2020: Anna Ispierto Maria Isabel Cambón
2022: Periodic public information on investment funds and how it influences investors´ decisions: Ramiro Losada
2021: Financial education and savings and investment decisions: An analysis of the Survey of financial competences (ECF): Anna Ispierto Maté, Irma Martínez García, Gloria Ruiz Suárez
2021: Deconstructing systemic risk: A reverse stress testing approach: Javier Ojea-Ferreiro
2021: Estimating real word probabilities: a forward-looking behavioral framework: Ricardo Crisóstomo
2020: Analysis of the effect of restrictions on net short positions on Spanish shares between March and May 2020: Ramiro Losada and Albert Martinez
2020: Non-alternative collective investment schemes, connectedness and systemic risk: Ramiro Losada and Ricardo Laborda
2020: Behavioural economics for investor protection: María Eugenia Cadenas Sáez
2019: A proposal for the design of energy-related scenario for stock stress testing: Javier Ojea Ferreiro
2018: Rethinking Capital Regulation: The Case for a Dividend Prudential Target: Manuel A. Muñoz
2017: Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes: Ricardo Crisóstomo and Lorena Couso
2017: Measuring liquidity of Spanish debt: María Isabel Cambón Murcia, José Luis Cano Coello and Jesús González Redondo
2017: Why is investors'mutual fund market allocation far from the optimum?: Ricardo Laborda and Ramiro Losada
2017: Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models: Ricardo Crisóstomo
2016: The Nature of Volatility Spillovers across the International Capital Markets: Gustavo Peralta
2016: Managerial ability, risk preferences and the incentives for active management: Ramiro Losada López
2015: High yield bond market: features and risks of a growing market: María del Rosario Martín Martín
2015: A Spanish Financial Market Stress Indicator (FMSI): Leticia Estévez Cerqueira and María Isabel Cambón Murcia
2015: Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock: Gustavo Peralta
2014: An analisys of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab: Ricardo Crisóstomo
2013: Evidence from purchases and redemptions in the Spanish equity fund market: María Isabel Cambón Murcia and Ramiro Losada
2012: Competition and structure of the mutual fund industry in Spain: the role of credit institutions: María Isabel Cambón Murcia and Ramiro Losada
2012: Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis: Óscar Arce, Sergio Mayordomo and Juan Ignacio Peña
2011: Access of SMEs with growth potential to the capital markets: Óscar Arce, Elías López and Lucio Sanjuán
2011: Towards a common European Monetary Union risk free rate: Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
2011: Spanish Mutual Funds Yield: An Analysis of its Determinants: María Isabel Cambón Murcia
2011: A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets: Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
2011: Interest Rates and Credit Risk: Carlos González-Aguado
2010: Are all Credit Default Swap Databases Equal?: Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
2010: The financial institutions incentives when they place financial assets with credit risk to retail investors: Ramiro Losada López
2010: The Credit Default Swaps market: areas of vulnerability and regulatory responses: Óscar Arce, Fco. Javier González Pueyo and Lucio Sanjuán
2010: The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress: Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
2010: On the role of transparency in the ABS secondary market: Ramiro Losada López
2009: Could regulation of the ABS secondary market improve social welfare?: Ramiro Losada López
2008: The subprime crisis: some lessons for financial supervisors: Fernando Restoy
2007: Switching to a temporary call auction in times of high uncertainty: David Abad and Roberto Pascual