Juan-Angel Jiménez-Martin

Complutense University of Madrid

Associate Professor

Complutense University of Madrid

Campus de somosaguas

Pozuelo de Alarcon, Madrid 28223

Spain

http://www.ucm.es/fundamentos-analisis-economico2/jajm

  • Complutense University of Madrid

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    • Tel: +34 91 3942355
SCHOLARLY PAPERS

22

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75

Scholarly Papers (22)

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1.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
Chia-Lin Chang, Juan-Angel Jiménez-Martin, Michael McAleer and Teodosio Perez Amaral
National Chung Hsing University, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,576 (6,791)
Citation 3

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Median strategy, Value-at-Risk (VaR), daily capital charges, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, VIX futures, global financial crisis (GFC)

2.

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Number of pages: 33 Posted: 30 Apr 2009 Last Revised: 27 Jan 2010
Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,026 (8,863)
Citation 15

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Value-at-Risk (VaR), daily capital charges, exogenous and endogenous violations, violation penalties, optimizing strategy, risk forecasts, aggressive or conservative risk management strategies, Basel II Accord, financial crisis

3.

What Happened to Risk Management During the 2008-09 Financial Crisis?

Number of pages: 13 Posted: 03 Aug 2009
Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,205 (36,778)
Citation 6

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risk management, violations, aggressive risk strategy, conservative risk strategy, value-at-risk forecasts

4.

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Number of pages: 17 Posted: 14 Sep 2009
Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,104 (41,891)
Citation 2

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Optimal risk management, average daily capital requirements, alternative risk strategies, value-at-risk forecasts, combining risk models

5.

The Ten Commandments for Managing Value-at-Risk under the Basel II Accord

Number of pages: 10 Posted: 11 Mar 2009 Last Revised: 09 Aug 2009
Juan-Angel Jiménez-Martin, Michael McAleer and Teodosio Perez Amaral
Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 1,073 (43,633)
Citation 8

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Financial portfolios, daily capital charges, frequency of violations, magnitude of violations, optimizing strategy, risk forecasts, value-at-risk, green zone, red zone

6.

GFC-Robust Risk Management Strategies under the Basel Accord

Number of pages: 29 Posted: 09 Oct 2010
Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 888 (56,726)
Citation 7

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Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management strategy, conservative risk management strategy, Basel II Accord, global financial crisis.

7.

A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

Number of pages: 29 Posted: 26 Feb 2009
Michael McAleer, Teodosio Perez Amaral and Juan-Angel Jiménez-Martin
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid - Facultad de Económicas y Empresariales and Complutense University of Madrid
Downloads 867 (58,588)
Citation 16

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8.

International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord

Number of pages: 39 Posted: 16 Jan 2011
Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 724 (74,597)
Citation 4

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Median Strategy, Value-at-Risk (VaR), Daily Capital Charges, Robust Forecasts, Violation Penalties, Optimizing Strategy, Aggressive Risk Management, Conservative Risk Management, Basel II Accord, Global Financial Crisis (GFC)

9.

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Number of pages: 36 Posted: 02 Nov 2011 Last Revised: 14 Feb 2012
Chia-Lin Chang, Lydia González Serrano and Juan-Angel Jiménez-Martin
National Chung Hsing University, Universidad Rey Juan Carlos and Complutense University of Madrid
Downloads 620 (90,847)
Citation 1

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multivariate GARCH, conditional correlations, exchange rates, optimal hedge ratio, optimal portfolio weights, hedging strategies

10.

ESG Risk Exposure: A Tale of Two Tails

Downloads 531 (110,397)

ESG Risk Exposure: A Tale of Two Tails

Number of pages: 47 Posted: 06 May 2022 Last Revised: 13 Dec 2022
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Central South University, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 459 (130,095)

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ESG, ESG Risk Factor, Fama/MacBeth Risk Factor, Quantile Regression, CoVaR, ESG Sentiment

ESG Risk Exposure: A Tale of Two Tails

Number of pages: 67 Posted: 05 May 2023
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Central South University, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 72 (684,474)

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ESG, ESG Risk Factor, Fama/MacBeth Risk Factor, Quantile Regression, Co-

11.

Measuring the Climate Transition Risk Spillover

Number of pages: 52 Posted: 04 Jan 2023
Runfeng Yang, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Central South University, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 396 (156,801)

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Climate Risk, Carbon Risk Premium, Quantile Regression, Risk Spillover

12.

The Artificial Intelligence Premium

Number of pages: 59 Posted: 31 May 2024
Runfeng Yang, Yufeng Mao, Massimiliano Caporin and Juan-Angel Jiménez-Martin
Central South University, University of Padova, Department of Economics and Management, University of Padua - Department of Statistical Sciences and Complutense University of Madrid
Downloads 332 (190,464)

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Artificial Intelligence, Asset Pricing, Technological Innovations, Return Predictability, Fama-MacBeth Regression JEL Codes: G12, C51, G14

13.

PPP: Delusion or Reality? Evidence from a Nonlinear Analysis

Open Economies Review, Forthcoming
Number of pages: 32 Posted: 12 Mar 2009
Juan-Angel Jiménez-Martin and M-Dolores Robles
Complutense University of Madrid and Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
Downloads 296 (214,613)

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Unit-root test, Cointegration test, Fourier approximation, nonlinear VECM, exchange rates, purchasing power parity

14.

State-Uncertainty Preferences and the Risk Premium in the Exchange Rate Market

Number of pages: 25 Posted: 07 Mar 2009
Juan-Angel Jiménez-Martin and Alfonso Novales Cinca
Complutense University of Madrid and Universidad Complutense de Madrid
Downloads 273 (233,242)
Citation 3

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risk premium, taste shocks, fundamental uncertainty

15.

Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance

USC-INET Research Paper No. 16-05
Number of pages: 42 Posted: 13 Mar 2016
Chia-Lin Chang, Juan-Angel Jiménez-Martin, Esfandiar Maasoumi, Michael McAleer and Teodosio Perez Amaral
National Chung Hsing University, Complutense University of Madrid, Emory University, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 257 (247,997)
Citation 8

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Stochastic dominance, Welfare, Value-at-Risk, Expected Shortfall, Optimizing strategy, Basel III Accord

16.

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Number of pages: 72 Posted: 09 Oct 2013 Last Revised: 23 Oct 2013
Massimiliano Caporin, Juan-Angel Jiménez-Martin and Lydia González Serrano
University of Padua - Department of Statistical Sciences, Complutense University of Madrid and Universidad Rey Juan Carlos
Downloads 216 (293,797)

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Multivariate GARCH, conditional correlations, currency futures, optimal hedge ratios, hedging strategies.

17.

A Stochastic Dominance Approach to Financial Risk Management Strategies

Journal of Econometrics, Forthcoming
Number of pages: 14 Posted: 02 Jul 2015
Chia-Lin Chang, Juan-Angel Jiménez-Martin, Esfandiar Maasoumi and Teodosio Perez Amaral
National Chung Hsing University, Complutense University of Madrid, Emory University and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 163 (379,262)

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Stochastic dominance, Value-at-Risk, daily capital charges, violation penalties, optimizing strategy, Basel III Accord, VIX futures, global financial crisis

18.

Chasing the Non-Linear ESG Factor

Number of pages: 62 Posted: 22 Jul 2023 Last Revised: 25 Mar 2024
Juan-Angel Jiménez-Martin, Massimiliano Caporin and Runfeng Yang
Complutense University of Madrid, University of Padua - Department of Statistical Sciences and Central South University
Downloads 113 (507,578)

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ESG, ESG Factor, Factor Model, Fama/MacBeth Cross-section

19.

Guns, Economic Growth and Education During the Second Half of the Twentieth Century: Was Spain Different?

Number of pages: 25 Posted: 06 Jun 2014
Jose Jurado-Sanchez and Juan-Angel Jiménez-Martin
Universidad Complutense de Madrid (UCM) and Complutense University of Madrid
Downloads 70 (683,679)
Citation 2

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guns versus butter dilemma, military spending, economic growth and social expenditures, education spending

20.

Monitoring Financial Stress Spillovers with High-Frequency Principal Components

Number of pages: 37 Posted: 26 May 2022
Juan-Angel Jiménez-Martin, Massimiliano Caporin and Laura Garcia-Jorcano
Complutense University of Madrid, University of Padua - Department of Statistical Sciences and Universidad de Castilla-La Mancha
Downloads 67 (699,595)

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High-frequency, Principal components, financial system, systemic risk

21.

Sustainability and financial risks of the best-in-class: A comprehensive analysis

Number of pages: 52 Posted: 03 Mar 2025
Almudena Garcia-Sanz, Juan-Angel Jiménez-Martin and M-Dolores Robles
Universidad Complutense de Madrid (UCM) - Department of Fundamentals of Economic Analysis II (Quantitative Economics), Complutense University of Madrid and Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
Downloads 17 (1,133,282)

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CSR, synchronicity. JEL Classification: C33, G12, G32, M14

22.

TCaRE: A Dynamic Tail-Beta Approach to Measuring Climate Transition Risk Exposure

Number of pages: 40
Laura Garcia-Jorcano, Juan-Angel Jiménez-Martin and M-Dolores Robles
Universidad de Castilla-La Mancha, Complutense University of Madrid and Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
Downloads 7

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CO2 emission allowance, EU-ETS, carbon risk, tail carbon-sensitivity, climate transition risk