Foreign monetary policy and firms’ default risk, with Jonatan Groba, The European Journal of Finance (forthcoming)
Dissecting interbank risk using basis swap spreads, with Juan Ángel Lafuente, Nuria Petit and Jesús Ruiz, The World Economy (forthcoming)
Automatic Balancing Mechanisms for Mixed Pension Systems under Different Investment Strategies, with María del Carmen Boado-Penas, Humberto Godínez-Olivares and Steven Haberman, The European Journal of Finance, 2019, 26:2-3, 277-294
Journal of International Money and Finance, 37 (2013), pp. 529–563.
Journal of Banking and Finance, 37 (2013) pp. 2520–2532.
Chapters in books
Monte Carlo Valuation of CDOs under a Reduced Form Approach, with Antton Barandiarán and Manuel Moreno, in New Frontiers in
Insurance and Bank Risk Management, 2009, pp. 133-148, edited by C. Angela, S. Carrillo Menédez, M. Micocci, E. Navarro Arribas, R. Ottaviani,
F. Pressacco. Milano: MCGraw-Hill.
Pricing Tranched Credit Products with Generalized Multifactor Models, with Manuel Moreno and Juan Ignacio Peña, in Credit Risk Models,
Derivatives and Management Financial Mathematics Series, 2008, pp. 485-510, edited by Niklas Wagner. Boca Raton: Chapman & Hall.
Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach, with Manuel Moreno, in Credit Risk Models, Derivatives
and Management Financial Mathematics Series, 2008, pp. 527-549, edited by Niklas Wagner. Boca Raton: Chapman & Hall.