Info and papers


Pedro Serrano

Assistant Professor (tenured) of Finance
Department of Business Administration
University Carlos III of Madrid
c/Madrid, 126
28903 Getafe (Madrid)
Phone: +34 91 624 89 26 - Fax: +34 91 624 96 07
E-mail: pedrojose.serrano@uc3m.es
CV

Phd. in Quantitative Finance, Universidad del País Vasco (Bilbao, Spain), January 2008


Research interests

Fixed income, Asset pricing, Quantitative Finance



Working papers

Monetary policy and firms’ default risk, with Jonatan Groba, October 2017.

Supercointegrated, with Isabel Figuerola-Ferretti, Tao Tang and Antoni Vaello, July 2017.



Articles in journals

Dissecting interbank risk, with Juan Ángel Lafuente, Nuria Petit and Jesús Ruiz,
The World Economy (forthcoming)

Journal of International Money and Finance (forthcoming)

Modelling the shape of the limit order book, with Federico Platania and Mikel Tapia,
Quantitative Finance, 18:9, January 2018, pp.1575-1597.

Forecasting multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit,
International Review of Financial Analysis, Volume 57, February 2018, pp. 40-56,

Journal of Multinational Financial Management, Volumes 37–38, December 2016, pp. 139-157,
(previously entitled On the effects of illiquidity in CDS spreads)

International Review of Economics and Finance, Volume 39, September 2015, pp. 376–389.

Market frictions and the pricing of sovereign credit default swaps, with Antonio Rubia and Lidia Sanchís-Marco,
Journal of International Money and Finance, Volume 60, February 2016, pp. 223-252.

Journal of Multinational Financial Management, Volume 30, March 2015, pp. 83100.

What drives corporate default risk premium? Evidence from the CDS markets, with Antonio Díaz and Jonatan Groba,
Journal of International Money and Finance, 37 (2013), pp. 529563.

The impact of distressed economies on the EU sovereign market, with Jonatan Groba and Juan Ángel Lafuente,
Journal of Banking and Finance,
37 (2013) pp. 2520–2532.

Statistical properties and economic implications of jump-diffusion processes with shot-noise effects, with Manuel Moreno and Winfried Stute,
European Journal of Operational Research, 214 (2011) pp. 656–664.



Chapters in books

Monte Carlo Valuation of CDOs under a Reduced Form Approach, with Antton Barandiarán and Manuel Moreno, in New Frontiers in
Insurance and Bank Risk Management
, 2009, pp. 133-148, edited by C. Angela, S. Carrillo Menédez, M. Micocci, E. Navarro Arribas, R. Ottaviani,
F. Pressacco. Milano: MCGraw-Hill.

Pricing Tranched Credit Products with Generalized Multifactor Models, with Manuel Moreno and Juan Ignacio Peña, in Credit Risk Models,
Derivatives and Management Financial Mathematics Series
, 2008, pp. 485-510, edited by Niklas Wagner. Boca Raton: Chapman & Hall.

Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach, with Manuel Moreno, in Credit Risk Models, Derivatives
and Management Financial Mathematics Series
, 2008, pp. 527-549, edited by Niklas Wagner. Boca Raton: Chapman & Hall.



Media

La valoración de derivados de tipos de interés mediante múltiples curvas de descuento: un nuevo paradigma (in Spanish),
in Finanzas para mortales, 7 de abril, 2016, conjunto con Juan Ángel Lafuente y Nuria Petit.



Additional info