Fitxa persona

Framed within the field of ​​quantitative finance, my research career has been mainly focused on the analysis and measurement of financial risks, specifically the study of interest rate risk and credit risk.

With regard to my research on the management of interest risk, this has focused on determining the incidence of interest rate risk in the Spanish banking sector by measuring the sensitivity of credit institutions to interest rate movements. The objectives have been, firstly, to jointly analyse the impact of variations and volatility of interest rates on stock returns, and secondly, to elucidate whether more complex patterns with respect to the exposure profile should also be taken into consideration in risk assessment models.

Regarding the credit risk studies, these have focused on the analysis of the transmission and contagion of this type of risk, measured through the credit default swap (CDS) market, both for the European and American markets. My research has included several relevant issues in the context of the global financial crisis and the sovereign debt crisis in the Eurozone, such as the transmission of spillover risk in the performance and volatility of the banking CDS and sovereign markets.

In relation to other aspects of my research career, I have participated in several research projects of a competitive nature in the field of finance and I have been a principal researcher in a project of the University of Valencia (2013) and the Ramón Areces Foundation (2014-2016). I have completed two visiting researches at Cass Business School (City University London) and I received the Doctoral Thesis Prize (2010) from the Economic and Social Council of the Valencian Community and the Teaching Excellence Award (2019) from the Social Council of the University of Valencia. I have been a speaker at more than 45 national and international conferences, and I have attended more than 30 courses related to research and teaching.

I have two six-year period of research and accreditation for tenured university professors recognized by ANECA. I have published in prestigious journals such as Journal of International Financial Markets, Institutions and Money, Emerging Markets Review, Journal of Empirical Finance, International Review of Financial Analysis, International Review of Economics and Finance, Finance Research Letters, Research in International Business and Finance and Spanish Journal of Finance and Accounting.

I have been the organizer of the 15th INFINITI Conference on International Finance held at the Faculty of Economics of the University of Valencia in 2017 and The Annual Event of Finance Research Letters in 2020, 2021 and 2022. I have been a member of the academic committee of the Chair in International Finance of Banco Santander from 2014 to 2018 and I am since March 2021 the academic secretary of the Department of Financial Economics. Finally, since mid-2021 I am editor-in-chief of the journal Finance Research Letters.