Sergio Mayordomo

Banco de España

Alcala 50

Madrid 28014

Spain

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 9,407

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3,848

CITATIONS
Rank 14,957

SSRN RANKINGS

Top 14,957

in Total Papers Citations

24

Scholarly Papers (20)

1.
Downloads 784 ( 23,305)
Citation 15

Are All Credit Default Swap Databases Equal?

Number of pages: 53 Posted: 22 Nov 2010 Last Revised: 17 Jan 2013
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 754 (24,229)
Citation 15

Abstract:

Credit Default Swap Prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

NBER Working Paper No. w16590
Posted: 13 Dec 2010
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 30 (388,405)
Citation 15

Abstract:

Are All Credit Default Swap Databases Equal?

European Financial Management, Vol. 20, Issue 4, pp. 677-713, 2014
Number of pages: 37 Posted: 16 Sep 2014
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 0
Citation 15

Abstract:

credit default swap prices, databases, liquidity

2.

Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis

Number of pages: 37 Posted: 03 Aug 2011 Last Revised: 07 Feb 2012
Oscar Arce, Sergio Mayordomo and Juan Ignacio Peña
CNMV, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 463 (40,150)
Citation 1

Abstract:

Sovereign Credit Default Swaps, Sovereign Bonds, Credit Spreads, Price Discovery

3.

Derivatives Holdings and Systemic Risk in the U.S. Banking Sector

Number of pages: 43 Posted: 18 Dec 2011 Last Revised: 15 Jun 2013
Banco de España, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 290 (66,111)
Citation 1

Abstract:

Systemic risk, derivatives, Shapley value

4.

A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets

Number of pages: 42 Posted: 29 Mar 2011 Last Revised: 08 Mar 2013
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 279 (80,221)
Citation 2

Abstract:

Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

5.

Dealing with Dealers: Sovereign CDS Comovements

IESE Business School Working Paper No. WP-1090-E
Number of pages: 38 Posted: 08 Dec 2013 Last Revised: 21 Dec 2015
Miguel Anton, Sergio Mayordomo and Maria Rodriguez-Moreno
IESE Business School, Universidad de Navarra, Banco de España and Banco de España
Downloads 230 (76,765)

Abstract:

Sovereign CDS, comovements, commonalities, dealers

6.

An Empirical Analysis of the Dynamic Dependences in the European Corporate Credit Markets: Bonds vs. Credit Derivatives

Number of pages: 38 Posted: 04 Dec 2010 Last Revised: 12 Nov 2012
Sergio Mayordomo and Juan Ignacio Peña
Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 193 (121,327)
Citation 1

Abstract:

Credit Spreads, Market Dynamic Dependence, DCC-GARCH

7.

Towards a Common European Monetary Union Risk Free Rate

Number of pages: 32 Posted: 14 Mar 2010 Last Revised: 23 Feb 2012
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 162 (141,794)
Citation 3

Abstract:

Euro government bonds, Credit quality, Liquidity, Macro factors

8.

Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain

Number of pages: 39 Posted: 03 Apr 2011 Last Revised: 26 Jun 2013
Banco de España, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 159 (145,616)

Abstract:

Portfolio choice, Households, Indivisible illiquid assets, Financial constraints, Under-investment, Over-investment

9.

Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market

Number of pages: 40 Posted: 24 Jun 2012 Last Revised: 21 May 2014
Oscar Arce and Sergio Mayordomo
Bank of Spain and Banco de España
Downloads 155 (142,508)

Abstract:

short-sales constraint, financial stability, market quality

10.

Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis

Number of pages: 49 Posted: 29 Sep 2011 Last Revised: 22 Oct 2012
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 152 (148,737)
Citation 1

Abstract:

Credit Default Swap, Liquidity Commonalities, Global Risk, Funding Liquidity Risk, Counterparty Risk

11.

Does Central Clearing Benefit Risky Dealers?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 31 Posted: 31 Dec 2014 Last Revised: 10 Mar 2016
Sergio Mayordomo and Peter N. Posch
Banco de España and University of Dortmund - Faculty of Business, Economics and Social Sciences
Downloads 85 (160,153)

Abstract:

central clearing, counterparty risk, credit default swaps

12.

Mutual Funding

Number of pages: 70 Posted: 22 Dec 2014 Last Revised: 27 Sep 2016
Javier Gil-Bazo, Peter Hoffmann and Sergio Mayordomo
Universitat Pompeu Fabra, European Central Bank (ECB) - Directorate General Research and Banco de España
Downloads 83 (160,153)

Abstract:

Financial Conglomerates, Mutual Funds, Agency Conflicts, Financial Crisis, Sovereign Debt Crisis

13.

Trademark Activity and the Market Performance of U.S. Commercial Banks

Journal of Business Economics and Management, Forthcoming
Number of pages: 27 Posted: 20 Apr 2012
Carlos G. Pedraz and Sergio Mayordomo
Universidad Carlos III de Madrid and Banco de España
Downloads 42 (315,577)

Abstract:

Intangible assets, trademarks, Tobin’s q, abnormal returns, event studies

14.

Borrowing Constraints and Housing Price Expectations in the Euro Area

Number of pages: 40 Posted: 08 Sep 2015
Miguel Ampudia and Sergio Mayordomo
European Central Bank (ECB) - Directorate General Research and Banco de España
Downloads 32 (286,930)

Abstract:

15.

Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market

Banco de Espana Working Paper No. 1410
Number of pages: 30 Posted: 03 Jun 2014
Oscar Arce and Sergio Mayordomo
Banco de España and Banco de España
Downloads 23 (356,266)

Abstract:

short-sales constraints, financial stability, financial institutions, credit default swap, contagion

16.

Disentangling the Effects of Household Financial Constraints and Risk Profile on Mortgage Rates

Number of pages: 47 Posted: 05 May 2015 Last Revised: 29 Mar 2016
Bangor Business School, Banco de España and University of Granada - Department of Economic Theory and History
Downloads 18 (294,194)

Abstract:

mortgages, financial constraints, credit risk

17.

The Impact of the 2011 Short‐Sale Ban on Financial Stability: Evidence from the Spanish Stock Market

European Financial Management, Vol. 22, Issue 5, pp. 1001-1022, 2016
Number of pages: 22 Posted: 22 Nov 2016
Oscar Arce and Sergio Mayordomo
Bank of Spain and Banco de España
Downloads 0 (532,661)

Abstract:

short‐sales constraints, financial stability, financial institutions, credit default swap, contagion

18.

'Support Is Appreciated': On the Effectiveness of the SME Supporting Factor

Number of pages: 42 Posted: 16 Nov 2016 Last Revised: 21 Feb 2017
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and Banco de España
Downloads 0 (258,240)

Abstract:

SME, Credit Access, Supporting Factor, Bank Lending

19.

'Keeping It Personal' or 'Getting Real'? On the Drivers and Effectiveness of Personal versus Real Loan Guarantees

Number of pages: 52 Posted: 14 Feb 2016 Last Revised: 19 Dec 2016
Banco de España, University of Navarra - Faculty of Economics and Business, University of Zurich - Department of Banking and Finance and Banco de España
Downloads 0 (194,443)

Abstract:

Banks, Asymmetric Information, Real Guarantees, Personal Guarantees, Risk Taking, Capital Requirements

20.

When Does Relationship Lending Start to Pay?

Number of pages: 33 Posted: 15 Jan 2016 Last Revised: 19 Jan 2016
Germán López-Espinosa, Sergio Mayordomo and Antonio Moreno
University of Navarra, Banco de España and University of Navarra - Faculty of Economics and Business
Downloads 0 (294,194)

Abstract:

Asymmetric Information, Banks, Interest Rate spreads, Loans, Relationship Lending Dimensions