Full Text Papers
Predictive modeling
Loss
Machine Lerning
Scenarios
Combined Loss
Vidal-Llana, X. & Guillén, M. (2020).
Advanced analytics pricing for the calculation of post-Covid19 scenarios in automobile insurance. Anales del Instituto de Actuarios Españoles, 2020, 26:157-179.
Expected Shortfall
Extreme Values
Risk Management
Asset Pricing
Vidal-Llana, X., Uribe, J.M. & Guillén, M. (2022).
European stock market volatility connectedness: The role of country and sector membership. Journal of International Financial Markets, Institutions and Money, 101696.
Interconnectedness
Network Analysis
Individual Risk Maps
Spillovers
Vidal-Llana, X. & Guillén, M. (2022).
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility. The North American Journal of Economics and Finance, 63, 101835.
Book chapters
Scoring Functions
Value at Risk
Conditional Tail Expectation
Vidal-Llana, X., Coia, V. & Guillén, M. (2022).
Alternative scoring function specifications for estimating Conditional Tail Expectation regression via Neural Networks. Contributions to Risk.
Financial Contagion
Return Spillovers
Gross Domestic Product
Vidal-Llana, X., Uribe, J. M. & Guillén, M. (2022).
External Spillover Index and its Relation with GDP per Capita on European Countries. In Mathematical and Statistical Methods for Actuarial Sciences and Finance MAF2022 (pp. 435-440). Springer, Cham.