Credit Risk Research:

- Understanding Credit Derivatives. 2008
With A. Gallo. Bank of Spain Financial Stability Review, Vol. 14, p. 155-177. [PDF]
- Credit Risk Models I: Default Correlation in Intensity Models.

Included in Frank Fabozzi’s Encyclopedia of Financial Models, Chp. 22 (Wiley, 2012).
- Credit Risk Models II: Structural Models.

Included in Frank Fabozzi’s Encyclopedia of Financial Models, Chp. 23 (Wiley, 2012).
- Credit Risk Models III: Reconciliation Reduced – Structural Models. 2005
[PDF]
- Credit Risk Models IV: Understanding and Pricing CDOs. 2005 [PDF]
- Credit Default Swap Valuation: An Application for Spanish Firms. 2005 [PDF]
- Do We Need to Worry about Credit Risk Correlation?. 2005
Journal of Fixed Income, Vol. 15, No. 3, p. 42-59. [PDF] [Poster]
- Equity-credit modelling: Where are we - Where should we go. 2006 [PDF]
- Credit Derivatives: Models, markets and products (King´s College Course Presentation). 2007 [PDF]

Banking Research:

- A note on the impact of Basel II on banking and economic crises. 2006 [PDF]
- From Basel I to Basel II: An Analysis of the Three Pillars. 2006
[PDF]
- Economic and Regulatory Capital in Banking: What is the difference?. 2007
International Journal of Central Banking, Vol. 3, No. 3, p. 87-118. With R. Repullo. [PDF]
- Capital Regulatorio y Capital Económico: Un Análisis de sus Determinantes. 2004

With R. Repullo. Revista de Estabilidad Financiera, Vol. 7, p. 141-158. Banco de España. [PDF]