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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointe[...]texto impreso
Abad Romero, Pilar ; Robles Fernández, María Dolores ; Cuervo, Gare | 2013-02This study examines the existing relationship between announcements of debt rating changes for companies listed on the Spanish stock exchange and the liquidity of their stocks for the period of 2000 to 2010. Liquidity around the announcement day[...]texto impreso
Abad Romero, Pilar ; Robles Fernández, María Dolores | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2003En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los precios de las acciones. Este tema no ha sido analizado previamente en el mercado de valores español. Se analizan los cambios en la calificación del [...]texto impreso
Abad Romero, Pilar ; Robles Fernández, María Dolores | 2012-07This study analyzes the effects of six different credit rating announcements on systematic and unsystematic risk in Spanish companies listed on the Electronic Continuous Stock Market from 1988 to 2010. We use an extension of the event study dumm[...]texto impreso
Abad Romero, Pilar ; Díaz, Antonio ; Robles-Fernandez, M. D. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield [...]texto impreso
Abad Romero, Pilar ; Díaz, Antonio ; Robles-Fernandez, M. Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading vol[...]texto impreso
This paper evaluates the performance of several skewed and symmetric distributions in modeling the tail behavior of daily returns and forecasting Value at Risk (VaR). First, we used some goodness of fit tests to analyze which distribution best f[...]texto impreso
Abad Romero, Pilar ; Robles Fernández, María Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody´s, Standard and Poor´sor FitchIBCA are analyzed. On an efficient market[...]texto impreso
Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis, we present evidence supporting [...]texto impreso
Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-06Using estimated principal components as factors, three-factors models are shown to produce forecasts comparable to those of autoregressive models for 2 to 10 year zaero coupon interest rates IRS markets both, for short- and medium- term forecast[...]texto impreso
Abad Romero, Pilar ; Robles Fernández, María Dolores | 2014-07Risk-averse investors take into consideration risk-return tradeoff for decide their new position after the release of relevant information. This paper analyzes the informational content of rating change announcements focusing on the joint reacti[...]texto impreso
Abad Romero, Pilar ; Benito Muela, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005Over the past decade, no other tool in financial risk management has been used as much as Value at Risk (VaR). VaR is an estimate to determine how much a specific portfolio can lose within a given time period at a given confidence level. Nowaday[...]texto impreso
Abad Romero, Pilar ; Benito Muela, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en carteras de renta fija calculadas a partir de diferentes modelos empíricos multifactoriales de la estructura temporal de los tipos de interés (ETTI). Los m[...]
