Pedro Serrano

University Carlos III of Madrid - Department of Business Administration

C/ Madrid, 126

Getafe, Madrid 28903

Spain

SCHOLARLY PAPERS

9

DOWNLOADS

871

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Comillas Pontifical University, University Carlos III of Madrid - Department of Business Administration, Jinan University and University of the Balearic Islands
Downloads 580 (50,705)

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

Foreign Monetary Policy and Firms' Default Risk

The European Journal of Finance, Doi.org/10.1080/1351847X.2019.1710225
Number of pages: 53 Posted: 11 Mar 2016 Last Revised: 13 Jan 2020
Jonatan Groba and Pedro Serrano
Strategic Link and University Carlos III of Madrid - Department of Business Administration
Downloads 84 (322,473)

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Foreign Monetary Policy, Default Risk, Foreign Demand, Foreign Debt

3.

Determinants of the Multiple-Term Structures from Interbank Rates

Number of pages: 41 Posted: 21 Jun 2015
Juan Angel Lafuente, Nuria Petit and Pedro Serrano
Jaume I University, University Complutense of Madrid and University Carlos III of Madrid - Department of Business Administration
Downloads 67 (366,648)
Citation 3

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Basis swap, noise measure, credit risk, liquidity risk, capital arbitrage

4.

Dissecting Interbank Risk

Number of pages: 39 Posted: 04 Oct 2016 Last Revised: 07 Oct 2016
Jaume I University, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and University Carlos III of Madrid - Department of Business Administration
Downloads 66 (369,493)

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Interbank risk, basis swap, systemic risk, liquidity, particle filter

5.

The Informational Content of Limit Order Distributions During Market Auctions

Number of pages: 30 Posted: 13 Apr 2016
Federico Platania, Pedro Serrano and Mikel Tapia
University of Liege, University Carlos III of Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 51 (418,304)

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Call auction; pre-opening period; noise trader; partial-differential equation.

6.

The Impact of Heterogeneous Unconventional Monetary Policies on Market Uncertainty

Number of pages: 74 Posted: 29 May 2020
Bank of Spain, University Carlos III of Madrid - Department of Business Administration and University of the Balearic Islands
Downloads 23 (548,050)

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unconventional monetary policy, risk-neutral density, tail risk, event study, SVAR

7.

Dissecting Interbank Risk Using Basis Swap Spreads

The World Economy, Vol. 43, Issue 3, pp. 729-757, 2020
Number of pages: 29 Posted: 07 Jun 2020
affiliation not provided to SSRN, University Complutense of Madrid, Universidad Complutense de Madrid (UCM) and University Carlos III of Madrid - Department of Business Administration
Downloads 0 (726,205)
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basis swap, interbank risk, liquidity, particle filter, systemic risk

8.

The Impact of Distressed Economies in the EU Sovereign Market

Journal of Banking and Finance, Vol. 37, No. 7, 2013
Posted: 29 Mar 2012 Last Revised: 21 Oct 2017
Jonatan Groba, Juan Angel Lafuente and Pedro Serrano
Strategic Link, Jaume I University and University Carlos III of Madrid - Department of Business Administration

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Sovereign CDS, volatility transmission, default risk premium

9.

What Drives Corporate Bond Risk Premia? Evidence from the CDS Market

Journal of International Money and Finance, Vol. 37, 2013
Posted: 18 Mar 2011 Last Revised: 21 Oct 2017
Antonio Diaz, Jonatan Groba and Pedro Serrano
University of Castilla-La Mancha, Strategic Link and University Carlos III of Madrid - Department of Business Administration

Abstract:

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Credit Default Swap, Distress Risk Premium, Expected Default Frequency, Jump-At-Default Risk Premium