Pedro Serrano

University Carlos III of Madrid - Department of Business Administration

C/ Madrid, 126

Getafe, Madrid 28903

Spain

SCHOLARLY PAPERS

7

DOWNLOADS

776

CITATIONS

1

Scholarly Papers (7)

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 523 (51,628)

Abstract:

Loading...

Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

Foreign Monetary Policy and Firms' Default Risk

Number of pages: 86 Posted: 11 Mar 2016 Last Revised: 20 Mar 2018
Jonatan Groba and Pedro Serrano
Lancaster University - Department of Accounting and Finance and University Carlos III of Madrid - Department of Business Administration
Downloads 77 (308,196)

Abstract:

Loading...

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

3.

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 63 (343,774)

Abstract:

Loading...

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

4.

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 62 (346,495)
Citation 1

Abstract:

Loading...

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

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 (380,104)

Abstract:

Loading...

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

6.

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
Lancaster University - Department of Accounting and Finance, Jaume I University and University Carlos III of Madrid - Department of Business Administration

Abstract:

Loading...

Sovereign CDS, volatility transmission, default risk premium

7.

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, Lancaster University - Department of Accounting and Finance and University Carlos III of Madrid - Department of Business Administration

Abstract:

Loading...

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