Author's profile

Ana-Maria Fuertes
Cass Business School

Background

Professor in Financial Econometrics; Fellow of the EMG; AIRC and CCCF, Faculty of Finance.Having gained an MSc in Control Engineering, Ana graduated with a PhD in Economics from the University of Valladolid (Spain) in 1998. She was formerly Lecturer at the Economics Department of the School of Engineering and Management (ETSII) in Valladolid (1992-1997), Research Fellow at London Metropolitan University (1997-1999) and Lecturer at London Metropolitan University (1999-2001) before she joined Cass Business School.

Author articles

  • How did Islamic Banking come through one of the world's greatest financial crises so strongly? This paper examines whether Islamic banks are inherently more stable and resilient to crisis than conventional banks.

    06/06/2016 | 1,618
  • An empirical investigation of the relative importance of hot money in bank credit and portfolio flows from the US to 18 emerging markets over the period 1988-2012.

    03/03/2015 | 2,847
  • This research tests De Grauwe's Eurozone fragility hypothesis, which states that member countries of a monetary union are vulnerable to a default paradoxically triggered by investors' attempts to avoid one.

    19/05/2014 | 3,243
  • This research utilises copulas to build on existing work on the non-linear relation between credit spreads and tradable systematic risk factors.

    23/05/2013 | 4,206
  • The recent global financial crisis has served as a stark reminder of the crucial role of systematic stress testing of financial institutions' portfolios, particularly, their lending books. In response to the regulatory deficiencies thus revealed, Basel III is seeking to achieve the broader macroprudential goal of protecting the banking sector from periods of excess credit growth by requesting longer horizon default probabilities, downturn loss-given-default measures and improved calibration of risk models.

    A Mixture of Markov Chains (MMC) approach is proposed to estimate credit rating migration risk that controls for the business-cycle evolution during the relevant time horizon in order to ensure adequate capital buffers both in good and bad times.

    09/02/2017 | 16,558