Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: María José Gómez Yubero, Bárbara Gullón Ojesto Title: Restech and the Resolution of Critical Financila Infrastructures: An Application to Central Counterparties Abstract: This paper analyses the potential of resolution technology (ResTech) as a strategic tool for improving the planning, execution, and monitoring of central counterparty (CCP) resolution processes. Building on the existing technology ecosystem in the RegTech and SupTech fields, the paper envisages a natural extension of these technologies to critical resolution functions in a context of increasing digitalisation and finnancial interconnectedness. Through a review of literature and institutional experiences, we identify the most relevant enabling technologies (such as AI, NLP, DLT and digital simulators), their potential applications in the preventive and executive phases, and the associated risks. The study highlights the need to strengthen institutional capacities, develop secure enviroments for experiementation, and foster effective international - particularly European - cooperation through bodies such as the Financial Stability Board (FSB) and the European Securities and Markets Authority (ESMA). Finally, the paper proposes action plans to progressively integrate ResTech into operational and regulatory frameworks with the aim of establishing it as a key pillar for the effective, legtimate and appropriate resolution of the challenges in the digital financial system. Keywords: Restech, Central Counterparties, Emerging Technologies, Artificial Intelligence, Quantum computing, sistemic crises, Financial Stability, Cyber Resilience, Data Governance, RegTech, Suptech Number: CNMV Working Papers no. 93 2025 Creation-Date:2025 Classification-JEL: O31, F55, C80 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_93_ResTech_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_93en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: María José Gómez Yubero, Bárbara Gullón Ojesto Title: Framework for Estinating Financial Needs in the Resolution of Central Counterparties Abstract: This paper presents a methodological framework for estimating the potential costs associated with the resolution of central counterparties (CCPs), in line with Step 3 of the Guidance on Financial Resources to Support CCP Resolution and on the Treatment of CCP Equity in Resolution issued by the Financial Stability Board (FSB) (FSB, 2024b). It distinguises between losses to be absorbed under different scenarios - whether due to default (DL) on non-default (NDL) events - and additional costs arising from the execution of the resolution process. Different methodological approaches are proposed for quantifying each cost category during the resolution planning phase, including the use of actual portfolios, hypothetical data, reverse stress testing, market bechmarks, internal simulations, budgetary analysis, and legal cirteria. Additionally, cost-sharing and cost recovery mechanisms are addressed, and the No Creditor Worse Off than in Liquidation (NCWOL) principle is analysed due to its legal and financial relevance. The paper concludes with proposals aimed at strengthening robustness, comparability, and pratical apllicability of cost estnimations, with particular attention to NDS scenarios, internal model validation, and international harmonisation. Finally, it invites a strategic reflection on the potential convergence betweeen bank resolution framework and those applicable to financial market infrastructures, in support of financial stability. Keywords: CCP resolution, degault losses (DL), non-default losses (NDL), common costs, NCWOL, cost estimation, resolutioon funding, financial stability Number: CNMV Working Papers no. 92 2025 Creation-Date:2025 Classification-JEL: G11, G18, G20 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_92_Framework_estimating_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_92en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Diana Mykhalyuk Title: Dynamic modelling of climate-related shocks in the Spanish fund sector Abstract: The investment fund sector plays a key role in Spain´s financial system and in financing the transition to climate neutrality. This study presents a pleliminary estimate of potential losses in th funds´portfolio under three European Systemic Risk Board (ESRB) climate transition stress scenarios incorporating a dynamic assessment framework to simulate and evaluate both static and dynamic impacts of climate transition risk. The analysis consists of a static shock applied to direct and indirect funds holdings varying by asset type. Dynamic effects, including investor flows and portfolio adjustments, are incorporated to assess behavioural and systemic responses under transition scenarios. The analysis focuses on the division of funds into sustainable and non-sustainable funds, classified according to the emission intensity information. Furthermore, the paper develops a novel methodology for assessing the ESG rating of sovereing debt. The main findings suggest that Spanish mutual funds would record lower losses (8.2%) on average compared to their European peers (15.8%), with non-sustinbale funds exhibiting higher losses than sustainable funds when classified by emission intensity Keywords: Climate transition risk, stress scenarios, mutula funds, sustainability Number: CNMV Working Papers no. 91 2025 Creation-Date:2025 Classification-JEL: Q51, G11, G17 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_91_Dynamic_modelling_EN_vfen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_91en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ricardo Crisóstomo Title: Quantifying firm-level risks from nature deterioration Abstract: We estimate the loss of value that companies might suffer from nature overexplotation. We find that global equities shed 26.8% in a scenario of unabated nature decline, while the worst-performing firms lose 75% of their value. Our risk framework considers five environmental hazards: biodiversity loss, land degradation, climate change, human population and nature capital. We also introduce two metrics to assess nature-related risks: a Country Degradation Index that tracks the damage caused by environmental hazards in specific territories, including nonlinear dynamics and tipping points, and a Nature Risks Scores that summarises the risk that companies face due to the decline of nature and its services. Keywords: Environmental degradation, nature-related financial risks, climate change, ecosystem services, tipping points Number: CNMV Working Papers no. 90 2025 Creation-Date:2025 Classification-JEL: G01, G17, G28, I30, Q51 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_90_Quantifying_firm_level_risksen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_90en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: María Jose Gómez Yubero, Miguel Palomero Aguilar Title: Representation of Women in Governing Bodies: An Analisis of Financial Institutions Supervised by the CNMV Abstract: Diversity within corporate governance bodies, particularly in the financial sector, is vital for both economic and social stability. However, despite various efforts, women´s representation in leadership roles remains low, highlighting persistent structural and cultural barriers. This paper examines the current state and challenges of achieving balanced representation in financial institutions supervised by the CNMV, with a special focus on unlisted companies. The findings reveal that women´s presence on Boards of Directors is significantly below the levels efforts for effective inclusion. The paper discuses the reasons behind this disparity and offers recommendations to encourage meaningful changes in female representantion within the sector. Keywords: Representation of Women, Financial Institutions Number: CNMV Working Papers no. 89 2025 Creation-Date:2025 Classification-JEL: J71, G34 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_89_Presencia_mujeres_consejos_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_89en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Francisco Javier González Pueyo, María José Pérez-Santamarina Atiénzar Title: Private Finance Markets Abstract: This paper analyses the current state and recent developments of private equity and credit markets and also identifies key issues to be considered by supervisory authorities. It considers the main economic and structural that have driven the significant growth of private finance markets in recent years, allowing them to finance increasingly large transactions and address more advances stages of corporate development. It also provides a brief analysis of private capital in Spain, comparing it with other European countries. It shows that both the levels of private equity investment relative to GDP, as well as the types and sectors of investment are quite similar to the rest of the European Union. Keywords: Private Equity, Private Markets, Sustainable Investment Number: CNMV Working Papers no. 88 2025 Creation-Date:2025 Classification-JEL: G11, G15, G14 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_88_los_mercados_privados_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_88en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Queremon Riba Meseguer, María Isabel Cambón Murcia Title: Fragmentation price formation and liquidity of Spanish equities in a European context Abstract: This paper analyses the evolution of trading fragmentation in Spanish equities between 2018 and mid-2024, continuing a previous analysis conducted a few years ago. It also explores the price formation process across different trading venues and their liquidity conditions. Most of the indicators and metrics in this study are also presented for five other European countries and the United States to facilitate meaningful comparisons. The motivation for this research stems from the need to assess changes in market structure and price formation following the implementation of MIFID (I and II) regulations and the emergence of new market participants, such as multilateral trading facilities (MTFs) and systematic intenalizers. The findings of this study indicate thar trading fragmentation in Europe has persisted throughout the analyzed period. Market shares of home trading venues exhibit significant differences depending on whether the calculation considers only on-book trading or the total market, which includes off-book transactions. Additionally, off-market (OTC) trading remains at significant levels. Regarding price formation and liquidity, the indicators show that home venues retain the most significant role in price formation and liquidity, while CBOE the leading competitor at the European level, achieves similar metrics in terms of liqueidity an of proportion of price-improvements. Keywords: trading fragmentation, price formation, liquidity Number: CNMV Working Papers no. 87 2024 Creation-Date:2024 Classification-JEL: G12, G13, E31 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_87_Fragmentacion_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_87en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ramiro Losada, Albert Martínez Pastor Title: Analysys of the implementation of the Spanish Financial Transaction Tax in equity markets Abstract: This paper evaluates the effect of the introduction of the ITF on Spanish shares in secondary markets, focusing on the potential costs. For this purpose, it considers several dimensions of liquidity (measured through the bid-ask spread and the Amihud ratio), volatility (both intraday and historical) and trading volume of the secondary markets in which Spanish shares are traded. The paper uses two models: one based on difference-in-differences and another wich relies on a regression discontinuity design. This approach tries to capture two types of effects: firstly, the impact of the introduction of the tax by comparing the evolution of the variables of Spanish shares subject to the FTT with those of other countries with similar characteristics and not subject to the FTT. Secondly, the evolution of the variables linked to the trading of shares of Spanish companies subject to tax whith those are not. The paper reveals that the effect of the tax on the trading of Spanish shares have been limited in absolute terms and were mostly temporary. Two opposing effects are detected: on the one hand, the trading of taxed Spanish shares decreased after the introduction of the tax. On the other hand, these shares recovered part of the trading volume that was carried out in OTC markets. With respect to volatility, it increased in the short term, and tended to decrease in the long term. Keywords: Spanish Financial Transaction Tax, equity markets, data analysis. Number: CNMV Working Papers no. 83 2023 Creation-Date:2023 Classification-JEL: G18, E52, E62, E63 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_ITF_enen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_83en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ramiro Losada, Albert Martínez Pastor Title: Spanish securities issuers and their relstionship with climate change Abstract: The main objective of this work is to carry out a first estimation on the amount of the greenhouse gas emissions of Spanish issuers of securities. It also carries out an initial exercise on the degree of alignment of their emission reduction goals with the objectives set out in the Paris Agreement and in the European Union. In addition we assess the extent to which the challenges deriving from climate change have been incorporated into business management, particularly in the area of corporate governance, the risks and opportunities identified and specific emission reduction goals set. This document forms part of the work carried out to fulfil the mandate established in Law 7/2021, of May 20, on climate change and ecological transition ( the "Clima Change Law"). Article 33 establishes that every two years the Bank of Spain, the CNMV and the General Directorate of Insurance must prepare a coordinated report within the AMCESFI (Spanish acronym for "Spain's Macroprudential Authority Financial Stability Council") on the degree of alignment with the climate goals of the Paris Agreement and with the regulations of the European Union and an assessment of the risk to the financial system deriving from climate change. Keywords: Climate change, securities issuers, Low-carbon transition, CHG emissions Number: CNMV Working Papers no. 82 2023 Creation-Date:2023 Classification-JEL: G11, G12, G32, G32, Q51 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_82_emisores_cambio_clima_EN_2en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_82en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ricardo Crisóstomo Title: Measuring Transition Risk in Investment Funds Abstract: We develop a comprehensive framework to measure the impact of the climate transition on investments portfolios. Our analysis is enriched by including geographical, sectorial, company an ISIN-level data o assess transition risk. We find that investment funds suffer a moderate 5.7% loss upon materialization of a high transition risk scenario. However, the risk distribution is significantly left-skewed, with the worst 1% funds excperiencing an average loss of 21.3%. Imnterms of asst classes, equities are the worst performers (12.7%), followed by corporate bonds (5.6%) and government bonds (-4.8%). We discriminate among financial instruments by considering the carbon footprint of specific counterparties and the credit rating, duration, convexity and volatility of individual exposures. We find that sustainable funds are less exposed to transitions risk and perform better than the overall fund sector in the low-carbon transition, validating their choice as green investments Keywords: Climate change, Low-carbon transition, Asset allocation, Investment funds, NGFS scenarios Number: CNMV Working Papers no. 81 2023 Creation-Date:2023 Classification-JEL: G11, G12, G32, G17, Q54 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_81_Measuring_Transition_Risken.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_81en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Guillermo Cambronero Pérez, Gloria Ruiz Suarez Title: Analysys of the behaviour of retail investors in the financial markets during the COVID-19 crisis Abstract: This paper describes the development in trading by retail investors in the securities market in 2019 and 2020 to identify possible changes in times of heightened uncentainty of the crisis. This article is the first that the CNMV has carried out focusing on this type of analysis and it highlights the significant increase in trading by natural persons in the context of the crisis. The increase in trading was due to the sharp rise in the number of trades executed of a smaller size, together with an extraordinary increment in the number of new investors. The abrupt movements in equity prices in 2020, together with the easy access to trading on markets deriving from the use of new technologies were the catalyst of this process, The results contained in this article are accompanied by the publication of an interactive web-based dashboard, which can be accessed by all users using any electronic device. Keywords: COVID-19, Retail Investors, data analysis Number: CNMV Working Papers no. 78 2022 Creation-Date:2022 Classification-JEL: A10, G11, G01 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_78_Comp_minoristas_COVID_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_78en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Maria Isabel Cambón, Anna Ispierto Title: Characteristics of sustainable Spanish CISs in 2020 Abstract: This paper is an initial attempt to understand the sustainable Spanish CISs registered with the CNMV at the end od 2020 in more depth. At that time, there were very few of these, just 59, divided between investment funds and open-ended collective investment companies (SICAVs), with assets of around 9.5 billion euros. These CISs voluntarily refer to their activity as SRI (socially responsible investment), in accordance with Inverco´s 2014 SRI Circular. The first part of this study shows that sustainable CIS average returns at the end of 2020 exceeded those of the investments funds (IFs) ans SICAVs registered with the CNMV (1.8% compared to 0.8%). At the same time, the ratio of expenses was higher for CISs with ESG objectives than for other CISs (1.22% compares to 1.05%). In relation to ESG evaluations of the issuers of the assets belonging to sustainable CIS portfolios, we show that they are invested issuers with an excellent of good ESG rating and a degree of publicly reported ESG data transparency that is high or above average (ratings A and B). Keywords: Sustainability, Investment funds, collective investment schemes, socially responsible investment Number: CNMV Working Papers no. 77 2022 Creation-Date:2022 Classification-JEL: G18, G23, Q56 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_77_caract_IIC_sost_ENGen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_77en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ramiro Losada Title: Periodic public information on investment funds and how it influences investors´ decisions Abstract: This article analyzes how the information contained in the public information of investment funds affects the decisions of their participants. One of the goals of this type of regulatory text is to reduce the information asymmetry faced by investors, especially retail investors, when they want to invest in the securities markets. Specifically, two types of texts are analyzed: the first, devoted to describing the fund's investment policy; the second, known as an explanatory appendix devoted to describing the performance of the fund in the last quarter and the manager's predictions for the next quarter. From the results obtained, it can be derived that the information contained in these texts could influence the volume of both subscriptions and redemptions. However, the influence would be very limited. At the same time, there is a weak evidence that they could reduce the participations costs of investors when making their decisions to buy and sell funds. Keywords: Investment funds, Periodic public information, Text analysis, Subscriptions, Redemptions, Participations costs. Number: CNMV Working Papers no. 76 2022 Creation-Date:2022 Classification-JEL: G23, G11 File-URL:https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_76_inf_public_FI_ENGen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_76en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Anna Ispierto Maté, Irma Martínez García, Gloria Ruiz Suárez Title: Financial education and savings and investment decisions: An analysis of the Survey of financial competences (ECF) Abstract: This paper is based on the results deriving from the Survey of Financial Competences (ECF) in an attempt to contribute to the improvement of financial education policy designs, and it pursues several objectives: (i) to quantify the financial knowledge of individuals, (ii) to relate this knowledge to available socio-economic characteristics, and (iii) to analyse the effect of financial education on savings and investment decision-making for a broad set of financial assets. The results reveal that financial education plays a particularly important role in the decision to acquire financial assets such as fixed income and equity securities and investment funds. Financial education determines investment decisions in which the valuation of return, risk and investment term predominate and not the decisions of saving or acquisition of assets strongly perceived as hedging products. Keywords: Financial Education, Investment, Saving. Number: CNMV Working Papers no. 75 2021 Creation-Date:2021 Classification-JEL: A20, G21, G23, I21, I22 File-URL:http://cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Encuesta_de_comp_financ_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_75en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Javier Ojea-Ferreiro Title: Deconstructing systemic risk: A reverse stress testing approach. Abstract: The financial sector faces different systemic events. The early recognition of these events is a key step to monitor and track possible financial crises. Three main questions arise related to systemic risk, and they deal with their quantification, their probability of occurrence and the role of main contributors. This paper proposes a methodology based on a reverse stress test exercise to shed light on these questions. Time series and cross-section information regarding systemic risk are obtained. Further, an assessment of how these results of systemic assessment could change depending on key parameters in a Gaussian framework is undertaken and, finally, a small empirical exercise is performed. Keywords: Systemic risk, Expected Shortfall, financial model Number: CNMV Working Papers no. 74 2021 Creation-Date:2021 Classification-JEL: C14, C52, C53, G12, G13 File-URL:http://cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Deconstructing_systemic_risk_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_74en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ricardo Crisóstomo Title: Estimating real word probabilities: a forward-looking behavioral framework Abstract: This document shows that disentangling sentiment-induced biases from fundamental expectations significantly improves the accuracy and consistency of probabilistic forecasts. Using data from 1994 to 2017, 15 stochastic models and risk-preference combinations are analyzed and in all possible cases a simple behavioral transformation delivers substantial forecast gains. The results are robust across different evaluation methods, risk-preference hypotheses and sentiment calibrations, demonstrating that behavioral effects can be effectively used to forecast asset prices. Further analyses confirm that the real-world densities outperform densities recalibrated to avoid past mistakes and improve predictive models where risk aversion is dynamically estimated from option prices. Keywords: Sentiment, density forecasts, pricing kernel, options data, behavioral finance Number: CNMV Working Papers no. 73 2021 Creation-Date:2021 Classification-JEL: C14, C52, C53, G12, G13 File-URL:http://cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Estimating_real_EN_finalen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_73en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ramiro Losada Author-Name: Albert Martinez Title: Analysis of the effect of restrictions on net short positions on Spanish shares between March and May 2020 Abstract: This article analyzes what the cost may have been, in terms of market efficiency, of the ban on creating or increasing net short positions on the most liquid securities traded in the Spanish markets, which partially entered into force on 13 March 2020 and was then applied continuously from 17 March to 18 May. Specifically, the impact on some liquidity measures (such as the bid-ask spread, trading volume or the Amihud measure) is analyzed, as well as the impact on returns and intraday volatility of prices. Another objective is to assess whether the ban could have influenced the credit risk of financial and non-financial issuers whose securities are listed on equity markets. To perform the analysis, a study was made of variables related to the returns, vola¬tilities and liquidity measures of the shares listed on the stock exchanges that made up the Ibex 35 index in Spain and those that form part of the German Dax 30. The German index was chosen for this analysis, firstly, because its financial markets regulator did not adopt the decision to restrict short trades and, secondly, because the trends marked by prices, volatilities and liquidity measures during the period prior to the implementation of the measure in Spain were similar in the financial markets of both countries.From both the descriptive and econometric analyses it can be deduced that the securities included in the ban experienced a larger drop in liquidity (as measured by the bid-ask spread) compared to the unrestricted scenario, an impact which persisted when the ban was lifted, albeit to a lesser degree. However, there is no evidence of other effects derived from the ban on other relevant variables as the trading volumes, the price evolution, volatility, market depth or the issuers´credit spreads. Keywords: Number: CNMV Working Papers (others) 2020 Creation-Date:2020 Classification-JEL: File-URL:http://cnmv.es/DocPortal/Publicaciones/OTROS/Informe_ventas_en_corto_23072020_enen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_other1en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ramiro Losada Author-Name: Ricardo Laborda Title: Non-alternative collective investment schemes, connectedness and systemic risk Abstract: This paper analyses the connectedness among non-alternative collective investment schemes and with their underlying securities markets. The results show that non-alternative collective investment schemes should not be taken as important in terms of propa-gation of shocks and they may play a limited role from a systemic point view, an outcome that may be confirmed by the second main result of the paper. There is not a long run relationship (cointegration) between the connectedness from non-alternative collective schemes with their underlying markets and the financial systemic risk. On the other hand, in the short run, the way that a negative shock in the financial systemic risk causes an increase in the level of connectedness is shown although the opposite cannot be said; a negative shock in the level of connectedness does not cause a rise in the measure of the financial systemic risk. Keywords: Connectedness, investment schemes, UCITS, securities markets, systemic risk Number: CNMV Working Papers no. 71. 2020 Creation-Date:2020 Classification-JEL: G23, G18, C53 File-URL: http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/71_InterconexionIICyRSistemico_enen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_71en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: María Eugenia Cadenas Sáez Title: Behavioural economics for investor protection Abstract: Keywords: Number: CNMV Working Papers no. 70. 2020 Creation-Date:2020 Classification-JEL: File-URL: http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/70_EconomiaConductual_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_70en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Javier Ojea Ferreiro Title: A proposal for the design of energy-related scenario for stock stress testing Abstract: This article proposes a flexible methodology that captures the asymmetry in the relationship between the stock market and the oil market jointly with potential structural changes. It deals with the challenge of modelling the sharp increase in dependence across markets in stress situations. The study analyses the response of the European stock market to an extreme energy-related scenario. This exercise is of particular significance given the growing interest in the consequences of energy prices for the real economy and the risks of a disruptive transition to a low-carbon economy. Keywords: Number: CNMV Working Papers no. 69. 2019 Creation-Date:2019 Classification-JEL: File-URL: http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/69_Ojea_working_paperen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:69_Ojea_working_paperen Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Manuel Muñoz Title: Rethinking Capital Regulation: The Case for a Dividend Prudential Target Abstract: The paper investigates the effectiveness of dividend-based macroprudential rules in complementing capital requirements to promote bank soundness and sustained lending over the cycle. First, some evidence on bank dividends and earnings in the euro area is presented. When shocks hit their profits, banks adjust retained earnings to smooth dividends. This generates bank equity and credit supply volatility. Then, a DSGE model with key financial frictions and a banking sector is developed to assess the virtues of what shall be called dividend prudential targets. Welfare-maximizing dividend-based macroprudential rules are shown to have important properties: (i) they are effective in smoothing the financial cycle by means of less volatile bank retained earnings, (ii) they induce welfare gains associated to a Basel III-type of capital regulation, (iii) they mainly operate through their cyclical component, ensuring that long-run dividend payouts remain unaffected, (iv) they are flexible enough so as to allow bank managers to optimally deviate from the target, and (v) they act as an insurance scheme for the real economy. Keywords : macroprudential regulation, capital requirements, dividend prudential target, financial stability, bank dividends Number: CNMV Working Papers no. 68. 2018 Creation-Date:2018 Classification-JEL:E44, E61, G21, G28, G35 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT_68en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_68en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Ricardo Crisóstomo Author-Name:Lorena Couso Title:Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes Abstract: We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the main methodological caveats of probabilistic forecasts studies –small samples, limited models and non-holistic validations– by performing a comprehensive comparison of 15 predictive schemes during a time period of over 21 years. All densities are evaluated in terms of their statistical consistency, local accuracy and forecasting errors. Through the development of a new indicator, the Integrated Forecast Score (IFS), we show that risk-neutral densities outperform historical-based predictions in terms of information content. We find that the Variance Gamma model generates the highest out-of-sample likelihood of observed prices and the lowest predictive errors, whereas the ARCH-based GJR-FHS delivers the most consistent forecasts across the entire density range. In contrast, lognormal densities, the Heston model or the non-parametric Breeden-Litzenberger formula yield biased predictions and are rejected in statistical tests. Keywords:Probabilistic forecasts, risk-neutral densities, ARCH models, ensemble predictions, model validation. Number: CNMV Working Papers no. 67. 2017 Creation-Date:2017 Classification-JEL:C14, G12, G13, C52, C53 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT67en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_67en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:María Isabel Cambón Murcia Author-Name:José Luis Cano Coello Author-Name:Jesús González Redondo Title:Measuring liquidity of Spanish debt Abstract: Assessing liquidity in fixed-income markets is becoming very important in the current context of extremely low interest rates which, in general terms, is encouraging the acquisition of riskier and (potentially) less liquid assets. Although there is the perception that bond market liquidity could have worsened over the last years in international markets, none of the current studies has reached a clear conclusion. In this paper, we propose a liquidity synthetic indicator (LSI) on Spanish debt, applying the methodology that Broto and Lamas (2016) used for US markets. We compute six individual liquidity indicators that represent the elements that characterise a liquid market (tightness, resilience, depth and breadth). We use price and transaction-based indicators for government and corporate debt when data is available for the period 2005-2016. Our LSI shows several episodes of significant worsening in liquidity conditions, related to the Lehman Brothers’ collapse and the European sovereign debt crisis. After a sizeable improvement of liquidity in 2013-2014, the liquidity indicator has deteriorated over the past months as a consequence of lower trading volumes. The current ultralow interest rate environment and more capital demanding regulations could partially explain these results. Keywords: liquidity measures, synthetic indicator, Spanish fixed-income market. Number: CNMV Working Papers no. 66. 2017 Creation-Date:2017 Classification-JEL:G01,G10, G15, C43. File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Measuring_liquidity_Spanish_debten.pdf File-Format:application/pdf Handle: RePEc:cnv:wpaper:DT_66en Template-Type: ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name: Ricardo Laborda Author-Name: Ramiro Losada Title: Why is investors'mutual fund market allocation far from the optimum? Abstract: In this paper, It is analysed the differences between the optimal portfolio of funds that a fully informed investor might select and the current structure of the mutual fund markets as characterized by the funds’ risk profile (conservative or aggressive) and target investor type (retail or wholesale). It is found that the relationship between fund age, market share and change in total net assets –but not fees- and the optimal portfolio of funds depends on the structure of the mutual fund market. Keywords:Optimal portfolio of funds, fund characteristics, risk profile, retail, frictions. Number: CNMV Working Papers no. 65. 2017 Creation-Date:2017 Classification-JEL:G11, G19 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_65_en.pdf File-Format: application/pdf Handle: RePEc:cnv:wpaper:DT_65en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Ricardo Crisóstomo Title:Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models Abstract: This paper compares the CPU effort and numerical biases of six Fourier-based implementations. Our analyses focus on two jump models that can consistently price options with different strikes and maturities: (i) the Bates jump-diffusion model, which combines jumps with stochastic volatility and (ii) the Asymmetric Variance Gamma (AVG) model, a pure-jump process where an infinite number of jumps can occur in any interval of time. We show that both truncation and discretization errors significantly increase as we move away from the diffusive Black-Scholes-Merton dynamics. While most pricing choices converge to the Bates reference values, Attari’s formula is the only Fourier-based method that does not completely blow up in any AVG problematic region. In terms of CPU speed, the strike vector computations proposed by Zhu (2010) significantly improve the computational burden, rendering the use of fast Fourier transforms and plain delta-probability decompositions inefficient. Keywords:Jump processes, Bates model, Variance Gamma, Fourier transforms, pricing errors, speed comparisons Number: CNMV Working Papers no. 64. 2017 Creation-Date:2017 Classification-JEL:G13, C52, C63 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_64en.PDF File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_64en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Gustavo Peralta Title:The Nature of Volatility Spillovers across the International Capital Markets Abstract: This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international stock markets while the links account for significant volatility lead-lags. Also included in the analysis is the International TradeNetwork (ITN), whose links measure bilateral export-import flows thus, capturing fundamental interconnections between countries. I find that the IVN and the ITN resemble each other closely pointing out that volatility does not disseminate randomly but tends to spread across fundamentally related economies. I also note that the lagged volatility reactions embedded in the IVN are consistent with the notion of gradual diffusion of information across investors who are subject to limited attention and home bias. This hypothesis is formally tested by using as a direct proxy of investors’ attention the aggregate search frequency in Google. The empirical results support this intuition indicating that higher volatility surprises in key foreign markets predict higher domestic attention upon those markets in subsequent days. Once domestic attention is captured by such external shocks, it is contemporaneously transformed into higher domestic volatility. Keywords:Network Theory, Spillover of Volatility, International Financial Contagion Number: CNMV Working Papers no. 63. 2016 Creation-Date:2016 Classification-JEL:C00, C32, C45, C51, C55, C58, F30, F36, G01, G10, G15, G17 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_63en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_63en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Ramiro Losada López Title:Managerial ability, risk preferences and the incentives for active management Abstract: This paper uses a structural econometric model to assess the managerial ability of Spanish management companies. Traditionally, ability has been mainly measured by the alphas of CAPM models. The model used in this paper allows to disentangle the ability and preferences that are embedded in alphas. The results show that the abilities of Spanish management companies are lower than their peers in the US. This result could be the consequence of the limited competition in the mutual fund market as well as the narrowness of the equity markets that the funds invest in. Moreover, it is shown that the fraction of the funds'portfolios that is actively managed does not depend on the fees paid and it is negatively correlated to funds'total assets and whether a fund belongs to a credit institution's management company. Keywords:Ability, incentives, active management Number: CNMV Working Papers no. 62. 2016 Creation-Date:2016 Classification-JEL:G11, G23, C58 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_62en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_62en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:María del Rosario Martín Martín Title:High yield bond market: features and risks of a growing market Abstract: High yield bond markets are increasingly growing in the last years. Assets managers have turn to this market looking for higher yields in a low interest environment and encouraged by the low default rates and the existence of a more dynamic secondary market now than in the past. The question that arises, however, is if investors could not be addressing the high yield bonds risks rightly. The present document reviews the features and the recent evolution of this market, paying special attention to the elements that could prevent the development and consolidation of this market as a financing source for the economy. Keywords: Number: CNMV Working Papers no. 61. 2015 Creation-Date:2015 Classification-JEL: File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_61en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_61en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Leticia Estévez Cerqueira Author-Name:María Isabel Cambón Murcia Title:A Spanish Financial Market Stress Indicator (FMSI) Abstract: This paper introduces a Spanish Financial Market Stress Indicator (FMSI) similar to the “Composite Indicator of Systemic Stress” that Holló, Kremer and Lo Duca (2012) proposed for the euro area as a whole. Supervisors and regulators recognised the need to improve the process of identification, management and mitigation of systemic risk after the economic and financial crisis starting in mid-2007. In this context, this paper presents an indicator which represents a real-time measure of systemic risk and tries to quantify stress in the Spanish financial system. The contribution of each financial market segment (bond market, equity market, money market, financial intermediaries, forex markets and derivatives) to the total stress in the system is also provided. The methodology takes into account time-varying correlations between market segments. The study analyses the ability of the FMSI to identify past periods of high financial stress and presents two econometric approaches with the aim of classifying observations into different stress regimes and of determining if financial stress has a negative impact on the real economy. Keywords:systemic risk, financial crisis, composite indicator, real economy Number: CNMV Working Papers no 60. 2015 Creation-Date:2015 Classification-JEL:G01, G10, G20, E44. File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_60_en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_60en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Gustavo Peralta Title:Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock Abstract:This paper studies the undirected partial-correlation stock network for the Spanish market that considers the constituents of IBEX-35 as nodes and their partial correlations of returns as links. I propose a novel methodology that combines a recently developed variable selection method, Graphical Lasso, with Monte Carlo simulations as fundamental ingredients for the estimation recipe. Three major results come from this study. First, in topological terms, the network shows features that are not consistent with random arrangements and it also presents a high level of stability over time. International comparison between major European stock markets extends that conclusion beyond the Spanish context. Second, the systemic importance of the banking sector, relative to the other sectors in the economy, is quantitatively uncovered by means of its network centrality. Particularly interesting is the case of the two major banks that occupy the places of the most systemic players. Finally, the empirical evidence indicates that some network-based measures are leading indicators of distress for the Spanish stock market. Keywords:Network Theory, Stock Markets, Systemic Risk Indicators Number: CNMV Working Papers no 59. 2015 Creation-Date:2015 Classification-JEL:G01, G12, G17, C45, C58 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_59en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_59en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Ricardo Crisóstomo Title:An analisys of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab Abstract:This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices. Then we consider the implementation of the Heston model,showing that relatively simple solutions can lead to fast and accurate vanilla option prices. We also perform several calibration tests, using both local and global optimization.Our analyses show that straightforward setups deliver good calibration results. All calculations are carried out in Matlab and numerical examples are included in the paper to facilitate the understanding of mathematical concepts. Keywords:: Stochastic volatility, Heston, Black-Scholes biases, calibration, characteristic functions Number: CNMV Working Papers no 58. 2014 Creation-Date:2014 Classification-JEL:G13, C51, C52, C61, C63 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_58enen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_58en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:María Isabel Cambón Murcia Author-Name:Ramiro Losada Title:Evidence from purchases and redemptions in the Spanish equity fund market Abstract:CONTENTS:This article analyses the relationship between investment flows (subscriptions and redemptions) and the performance of Spanish equity investment funds. Empirical analysis reveals how investors in equity investment funds increase their subscriptions to high performing funds, while reducing their participation in funds that perform poorly. The main new element introduced by this study is an analysis of the relationship between investment flows and the performance of equity investment funds on retail and wholesale financial markets. One of the main conclusions from this analysis is that the sensitivity of retail investors to the performance of the poorest funds is less than for funds that have greater visibility. This finding could indicate that the managers of these funds are exercising a certain market power over their clients. Keywords:Mutual funds, flows, performance, retail Number: CNMV Working Papers no 56. 2013 Creation-Date:2013 Classification-JEL:G11, G23 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Doc_N56_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_56en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:María Isabel Cambón Murcia Author-Name:Ramiro Losada Title:Competition and structure of the mutual fund industry in Spain: the role of credit institutions Abstract:CONTENTS: The aim of this Working Papers is to provide evidence of the possibility that investors in investment funds may highly prefer to centralise their financial operations in one single entity, in line with the universal banking model predominant in Spain. This preference seems to be more intense in the retail segment of the industry and helps explain the growth in the number of mutual funds between 1995 and 2010 and the fact that the management fees charged and the level of concentration of UCITS managers are bigger in the retail segment than in the wholesale market. Keywords: Number: CNMV Working Papers no. 54. 2012 Creation-Date:2012 Classification-JEL: File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/WP54_weben.PDF File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_54en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Óscar Arce Author-Name:Sergio Mayordomo Author-Name:Juan Ignacio Peña Title:Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis Abstract:CONTENTS: This paper analyses the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the European Monetary Union. We first test and find evidence in favour of the existence of persistent deviations between both spreads during the crisis but not before. Such deviations are found to be related to some market frictions, like counterparty risk, the degree of market liquidity and funding costs. We also find evidence suggesting that the price-discovery process is state-dependent. Specifically, the levels of counterparty and global risk, funding costs, market liquidity, the volume of sovereign debt purchases by the European Central Bank in the secondary market, and the private banks’ announcement to accept losses on their holdings of Greek bonds are found to be significant factors in determining which market leads price discovery. Keywords:sovereign credit default swaps, sovereign bonds, credit spreads, price discovery Number: CNMV Working Papers no. 53. 2012 Creation-Date:2012 Classification-JEL:G10, G14, G15 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Monografia_N53_ENen.PDF File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_53en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:Óscar Arce Author-Name:Elías López Author-Name:Lucio Sanjuán Title:Access of SMEs with growth potential to the capital markets Abstract:CONTENTS: The main aim of this paper is to contribute towards the debate on how to boost the funding of newly created companies and those with high growth potential through the market and other external sources other than bank credit. The debate currently revolves around four key issues: how to ensure a sufficiently wide investor base, how to overcome possible barriers which hinder companies accessing the market, the design of markets for small and medium capitalisation securities and the role of regulation. As is to be expected, the reflections on the use of tax incentives play a significant role with regard to the first two issues. In the third issue, the debate focuses above all on how to resolve the problems of visibility which affect the markets for small and medium capitalisation securities and whether or not an exclusively national framework is sufficient for guaranteeing growth in these markets. With regard to the role of regulation, the discussion focuses on whether it would be beneficial to adapt the requirements to an “SME scale” and the impact this would have on investor protection. Keywords: Number: CNMV Working Papers no. 52. 2011 Creation-Date:2011 Classification-JEL: File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/N52_ENen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_52en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Sergio Mayordomo Author-Name:Juan Ignacio Peña Author-Name:Eduardo S. Schwartz Title:Towards a common European Monetary Union risk free rate Abstract:CONTENTS: This paper presents an estimation of the interest rate of a hypothetical common bond for the European Monetary Union (EMU) countries. This estimation is done using a series of variables which are motivated by a theoretical portfolio selection model for the period 2004-2010. In a first stage, the paper analyses the determinants of EMU sovereign yield spreads and finds significant ef­fects of variables related to credit quality factors, the macroeconomic situation, and other factors indicative of the correlation between the sovereign yield spreads and the bonds liquidity. On the basis of the determinants of the yield spreads, the hypothetical common risk free rate is estimated. This common rate would imply on average for the period under study savings in borrowing costs for all the EMU coun­tries although under extreme market circumstances, some countries may suffer increased borrowing costs. Keywords:Euro government bonds; Credit quality; Liquidity; Macro factors Number: CNMV Working Papers no. 51. 2011 Creation-Date:2011 Classification-JEL:F33, G12, H63 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Doc_51en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_51en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:María Isabel Cambón Murcia Title:Spanish Mutual Funds Yield: An Analysis of its Determinants Abstract:CONTENTS: This Working Papers analyses the Spanish mutual funds yield during the period 2000-2009 according to the specific features of these institutions. The model offered is estimated by the generalized method of moments (GMM) applied to panel data. The results of such estimate do not allow to conclude whether ther is a systematic persistence in mutual funds yield. Moreover, we obtain that funds with greater management and deposit fees do not offer a greater yield and that the greater the market share of the fund management company, the lower the yield of the fund. Keywords: Number: CNMV Working Papers no. 48. 2011 Creation-Date:2011 Classification-JEL: File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT48_weben.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_48en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Sergio Mayordomo Author-Name:Juan Ignacio Peña Author-Name: Juan Romo Title:A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets Abstract:CONTENTS: This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. The test is applied to credit derivatives markets using strategies combining Credit Default Swaps and Asset Swaps. We find persistent mispricings before and during the current financial crisis. However, after considering funding and trading costs, these mispricings are unlikely to provide profitable arbitrage opportunities. Keywords:Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling Number: CNMV Working Papers no. 47. 2011 Creation-Date:2011 Classification-JEL:C12, G12, G14 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT47_weben.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_47en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Carlos González-Aguado Title:Interest Rates and Credit Risk Abstract:CONTENTS: This paper explores the effects of shifts in interest rates on corporate leverage and default. We develop a dynamic model in which the relationship between firms and their outside financiers is affected by a moral hazard problem and entrepreneurs'initial wealth is scarce. The endogenous link between leverage and default risk comes from the lower incentives of overindebted entrepreneurs to guarantee the survival of their firms. The dynamic response of leverage and default to cuts and rises in interest rates is both asymmetric and heterogenously distributed across firms. Keywords:interest rates, short-term debt, search for yield, credit risk, firm dynamics. Number: CNMV Working Papers no. 46. 2011 Creation-Date:2011 Classification-JEL:G32, G33, E52 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT46_weben.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_46en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:Sergio Mayordomo Author-Name:Juan Ignacio Peña Author-Name:Eduardo S. Schwartz Title:Are all Credit Default Swap Databases Equal? Abstract:CONTENTS: This paper compares the six major sources of corporate CDS prices (GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan) using the most liquid single name 5-year CDS of the components of the leading market indexes, iTraxx and CDX, for the period 2004-2010. We find systematic differences between the data sets implying that deviations from the common trend among prices in the different databases are not purely random but are explained by idiosyncratic factors as well as liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. The results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Keywords:Credit Default Swap prices; Databases; Liquidity Number: CNMV Working Papers no. 44. 2010 Creation-Date:2010 Classification-JEL:F33, G12, H63 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT44_weben.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_44en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Ramiro Losada López Title:The financial institutions incentives when they place financial assets with credit risk to retail investors Abstract:CONTENTS: This paper analyzes the conflict of interest that exists when a financial institution issues and places a financial asset with credit risk among retail investors. Four regulatory measures are presented and analyzed in order to improve retail investors protection. It is shown that in this type of issues the most effective regulatory measure is that the supervisor sets a price cap. A close approach to this measure would be that the supervisor asks for independent valuations of the financial assets to provide investors and the supervisor itself with a well-founded opinion about the price of the issue. Keywords:conflict of interest, retail investors, regulation Number: CNMV Working Papers no. 43. 2010 Creation-Date:2010 Classification-JEL:G12, G18 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT43_weben.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_43en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:Óscar Arce Author-Name:Fco. Javier González Pueyo Author-Name: Lucio Sanjuán Title:The Credit Default Swaps market: areas of vulnerability and regulatory responses Abstract:CONTENTS: This Working Papers analyses the Credit Default Swaps market with emphasis on the main problems affecting the running of this market as well as on the different regulatory initiatives recently set up. In this context the proposals to amend regulation in the US and in Europe are analysed and the advisability and effectiveness of restricting short-selling of CDSs are evaluated. Keywords: Number: CNMV Working Papers no. 42. 2010 Creation-Date:2010 Classification-JEL: File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT42_engen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_42en Template-Type:ReDIF-Paper 1.0 Series:CNMV CNMV Working Papers Author-Name:Sergio Mayordomo Author-Name:Juan Ignacio Peña Author-Name:Juan Romo Title:The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress Abstract:CONTENTS: This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit derivatives markets in the context of the subprime crisis. It presents a theoretical price discovery model for the ASP, bond and CDS markets and then it tests the model with data from 2005 to 2009 on Euro-denominated non-financial firms. The empirical results show that the ASP market clearly leads the bond market in the price discovery process in all cases, while the leadership between ASPs and CDSs is very sensitive to the appearence of the subprime crisis. Before the crisis the CDS market leads the ASP market but during the crisis the ASP market leads the CDS market. Keywords:Price Discovery, VECM, Credit Derivatives, Credit Spreads. Number: CNMV Working Papers no. 41. 2010 Creation-Date:2010 Classification-JEL:C32, C51, G13, G14 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/MonografiaN41_weben.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_41en Template-Type:ReDIF-Paper 1.0 Series: CNMV CNMV Working Papers Author-Name:Ramiro Losada López Title:On the role of transparency in the ABS secondary market Abstract:CONTENTS: The aim of this paper is to provide an answer about the appropriateness of promoting transparency in the ABS secondary market. In particular, what will be investigated is the impact of introducing market transparency in the competition among market makers as well as the impact that transparency has on the welfare of investors. Keywords:bond markets, transparency, financial regulation Number: CNMV Working Papers no. 38. 2010 Creation-Date:2010 Classification-JEL:G15, G18 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/38_Transparencyen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_38en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Ramiro Losada López Title:Could regulation of the ABS secondary market improve social welfare? Abstract:CONTENTS: This paper examines a model of market making in the ABS market with heterogeneous investors and a lack of price transparency. It is shown that in a world with no price transparency, allowing free entry of market makers might not be a social optimum. Social welfare would be improved by a regulation to restrict the number of market makers in the ABS market to the extent that price competition is guaranteed. Keywords:ABS market, financial regulation, horizontal differentiation Number: CNMV Working Papers no. 37. 2009 Creation-Date:2009 Classification-JEL:G15, G18, L81 File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/37_ABSen.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_37en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:Fernando Restoy Title:The subprime crisis: some lessons for financial supervisors Abstract:CONTENTS: The recent market turmoil following the crisis of sub-prime mortgages in the US has provided rich evidence of serious deficiencies in the world financial system. This paper provides some elements for reflection on how to address them. The issues analysed in the paper are classified around four key words: transparency, credit rating agencies, liquidity and supervisory arrangements. Keywords: Number: CNMV Working Papers no. 31. 2008 Creation-Date:2008 Classification-JEL: File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/MON2008_31_een.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_31en Template-Type:ReDIF-Paper 1.0 Series: CNMV Working Papers Author-Name:David Abad Author-Name:Roberto Pascual Title:Switching to a temporary call auction in times of high uncertainty Abstract:CONTENTS: In this paper, the properties of the switching mechanism proposed by Madhavan in 1992 are tested using data from the Spanish Stock Exchange (SSE). The SSE implements rule-based call auctions to stabilise prices. On the positive side, the authors find there is price learning during the auction. On the negative side, they conclude rule-based auctions do not calm the market and do not reduce information asymmetries, except for small caps. The findings suggest the switching mechanism performs better with thinly traded stocks. Keywords:call auction, price learning, price reversals, price continuations, informationasymmetry, thinly-traded stocks. Number: CNMV Working Papers no. 19. 2007 Creation-Date:2007 Classification-JEL:G10; G14. File-URL:http://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/Mon2007_19en.pdf File-Format:application/pdf Handle:RePEc:cnv:wpaper:DT_19en