Carmen López Martín
Carmen López-Martín is an assistant professor of UNED (Spain). She holds a PhD in Economics from Madrid´s Open University (UNED) and a Bachelors Degree in Physics at the University of Granada (Spain) and in Economy at the Madrid's Open University (UNED). She worked in the Statistical Department of the Research Service of the Bank of Spain. She has published in refereed journals such as Journal of Risk, Journal of Risk Model Validation and The Spanish Review of Financial Economics. Her current area of interest is on applied econometrics, particularly in financial risk.
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.