Sergio Mayordomo

Banco de España

Alcala 50

Madrid 28014

Spain

SCHOLARLY PAPERS

31

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Scholarly Papers (31)

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1.

Are All Credit Default Swap Databases Equal?

Downloads 804 ( 28,987)
Citation 11

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 Simon Fraser University (SFU)
Downloads 772 (30,176)
Citation 1

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Credit Default Swap Prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

NBER Working Paper No. w16590
Number of pages: 67 Posted: 13 Dec 2010 Last Revised: 02 May 2016
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 31 (466,153)

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Are All Credit Default Swap Databases Equal?

CNMV Working Paper No. 44 (2010)
Number of pages: 68 Posted: 12 Jun 2019
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 1 (671,314)

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Credit Default Swap prices, Databases, Liquidity

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 Simon Fraser University (SFU)
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Citation 3
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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 557 (47,455)
Citation 27

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

3.

Dealing with Dealers: Sovereign CDS Comovements

Downloads 390 ( 73,638)
Citation 38

Dealing with Dealers: Sovereign CDS Comovements

IESE Business School Working Paper No. WP-1090-E
Number of pages: 57 Posted: 08 Dec 2013 Last Revised: 05 Jul 2017
Miguel Anton, Sergio Mayordomo and Maria Rodriguez-Moreno
University of Navarra, IESE Business School, Banco de España and Banco de España
Downloads 349 (83,156)
Citation 21

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Sovereign CDS, comovements, commonalities, dealers

Dealing with Dealers: Sovereign CDS Comovements

Banco de Espana Working Paper No. 1723
Number of pages: 43 Posted: 11 Jul 2017 Last Revised: 15 Jul 2017
Miguel Anton, Sergio Mayordomo and Maria Rodriguez-Moreno
University of Navarra, IESE Business School, Banco de España and Banco de España
Downloads 41 (421,763)
Citation 17

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Sovereign CDS, Comovements, Commonalities, Dealers

4.

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

Number of pages: 43 Posted: 18 Dec 2011 Last Revised: 15 Jun 2013
Maria Rodriguez-Moreno, Sergio Mayordomo and Juan Ignacio Peña
Banco de España, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 390 (73,638)
Citation 7

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Systemic risk, derivatives, Shapley value

5.

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 315 (93,993)
Citation 5

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Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

6.

Mutual Funding

Number of pages: 74 Posted: 22 Dec 2014 Last Revised: 26 Jan 2019
Javier Gil-Bazo, Peter Hoffmann and Sergio Mayordomo
Universitat Pompeu Fabra, European Central Bank (ECB) - Directorate General Research and Banco de España
Downloads 232 (129,590)
Citation 1

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

7.

Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE

Number of pages: 43 Posted: 06 Jul 2017 Last Revised: 24 Nov 2017
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 215 (139,473)
Citation 20

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8.

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 206 (145,197)
Citation 2

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Credit Spreads, Market Dynamic Dependence, DCC-GARCH

9.

Did the bank capital relief induced by the Supporting Factor enhance SME lending?

Downloads 204 (146,549)
Citation 37

Did the bank capital relief induced by the Supporting Factor enhance SME lending?

Number of pages: 50 Posted: 16 Nov 2016 Last Revised: 10 Dec 2017
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and Banco de España
Downloads 181 (163,570)
Citation 1

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SME, Credit Access, Supporting Factor, Bank Lending

Did the Bank Capital Relief Induced by the Supporting Factor Enhance SME Lending?

Banco de Espana Working Paper No. 1746
Number of pages: 41 Posted: 16 Dec 2017
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and Banco de España
Downloads 23 (511,118)
Citation 37

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SME, credit access, supporting factor, bank lending

10.

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
Banco de España and Banco de España
Downloads 172 (171,161)
Citation 1

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short-sales constraint, financial stability, market quality

11.

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
Sergio Mayordomo, Maria Rodriguez-Moreno and Juan Ignacio Peña
Banco de España, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 172 (171,161)

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

12.

Towards a Common European Monetary Union Risk Free Rate

Downloads 171 (172,012)
Citation 1

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 Simon Fraser University (SFU)
Downloads 168 (174,878)
Citation 1

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Euro government bonds, Credit quality, Liquidity, Macro factors

Towards a Common European Monetary Union Risk Free Rate

CNMV Working Paper No. 51 (2011)
Number of pages: 56 Posted: 12 Jun 2019
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 3 (645,818)

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Euro government bonds; Credit quality; Liquidity; Macro factors

13.

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
Sergio Mayordomo, Juan Ignacio Peña and Maria Rodriguez-Moreno
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 170 (172,938)
Citation 2

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

14.

Bank Capital Requirements, Loan Guarantees and Firm Performance

Downloads 167 (176,516)
Citation 50

Bank Capital Requirements, Loan Guarantees and Firm Performance

Swiss Finance Institute Research Paper No. 19-28
Number of pages: 46 Posted: 06 Jun 2019 Last Revised: 09 Jun 2019
Sergio Mayordomo, Antonio Moreno, Steven Ongena and Maria Rodriguez-Moreno
Banco de España, School of Economics and Business, University of Navarra, University of Zurich - Department of Banking and Finance and Banco de España
Downloads 152 (191,648)
Citation 31

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

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

Banco de Espana Working Paper No. 1715
Number of pages: 54 Posted: 09 May 2017
Sergio Mayordomo, Antonio Moreno, Steven Ongena and Maria Rodriguez-Moreno
Banco de España, School of Economics and Business, University of Navarra, University of Zurich - Department of Banking and Finance and Banco de España
Downloads 15 (562,136)
Citation 20

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banks, asymmetric information, real guarantees, personal guarantees, risk-taking, capital requirements

15.

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 TU Dortmund University
Downloads 152 (190,177)
Citation 1

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central clearing, counterparty risk, credit default swaps

16.

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Downloads 103 (255,664)
Citation 12

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Number of pages: 49 Posted: 30 Apr 2018 Last Revised: 07 Aug 2018
Oscar Arce, Miguel Garcia-Posada, Sergio Mayordomo and Steven Ongena
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and Finance
Downloads 71 (324,946)

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negative interest rates, risk taking, lending policies

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Banco de Espana Working Paper No. 1832
Number of pages: 49 Posted: 08 Oct 2018
Oscar Arce, Miguel Garcia-Posada, Sergio Mayordomo and Steven Ongena
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and Finance
Downloads 25 (499,054)
Citation 5

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negative interest rates, risk taking, lending policies

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 30 Apr 2018
Oscar Arce, Miguel Garcia-Posada, Sergio Mayordomo and Steven Ongena
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and Finance
Downloads 7 (615,542)
Citation 9

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negative interest rates; risk taking; lending policies

17.

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 School of Economics and Business, University of Navarra
Downloads 103 (255,664)
Citation 3

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

18.

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 75 (311,604)
Citation 2

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19.

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

Downloads 69 (326,348)

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
Santiago Carbo-Valverde, Sergio Mayordomo and Francisco Rodriguez-Fernandez
Bangor Business School, Banco de España and University of Granada - Department of Economic Theory and History
Downloads 69 (330,138)

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mortgages, financial constraints, credit risk

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

Journal of Real Estate Finance and Economics, Vol. 56, No. 1, 2018
Posted: 08 Feb 2018
Santiago Carbo-Valverde, Sergio Mayordomo and Francisco Rodriguez-Fernandez
Bangor Business School, Banco de España and University of Granada - Department of Economic Theory and History

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Households; Mortgages; Financial Constraints; Credit Risk

20.

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 56 (362,646)

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

21.

Making Room for the Needy: The Credit-Reallocation Effects of the ECB's Corporate QE

Banco de Espana Working Paper No. 1743
Number of pages: 39 Posted: 12 Dec 2017
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 42 (409,742)
Citation 24

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unconventional monetary policy, Corporate Sector Purchase Programme, quantitative

22.

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 42 (409,742)
Citation 46

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

23.

The Effects of the Eurosystem’s Corporate Sector Purchase Programme on Spanish Companies

Banco de Espana Article 2/18
Number of pages: 6 Posted: 01 Mar 2018
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 32 (449,998)
Citation 1

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24.

How Do European Banks Cope with Macroprudential Capital Requirements?

Number of pages: 39 Posted: 29 Jun 2018 Last Revised: 19 Oct 2018
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and Banco de España
Downloads 11 (565,295)

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European Banks; Macroprudential Requirement; Capital Ratio; Risk Weighed Assets

25.

The Effects of the Eurosystem's Corporate Sector Purchase Programme on Spanish Companies

Economic Bulletin, Article 2/2018
Number of pages: 6 Posted: 24 Jan 2018
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 11 (565,295)

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26.

The China Syndrome Affects Banks: The Credit Supply Channel of Foreign Import Competition

Banco de Espana Working Paper No. 1908 (2019)
Number of pages: 53 Posted: 21 Mar 2019
Sergio Mayordomo and Omar Rachedi
Banco de España and Banco de España
Downloads 6 (596,141)
Citation 8

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trade shock, credit register, banks’ portfolio reallocation, bank loans, real effects

27.

Adapting Lending Policies Against a Background of Negative Interest Rates

Banco de Espana Article 5/19
Number of pages: 9 Posted: 29 Mar 2019
Oscar Arce, Miguel Garcia-Posada and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 5 (602,653)

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negative interest rates; risk-taking; lending policies

28.

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

CNMV Working Paper No. 53 (2012)
Number of pages: 44 Posted: 12 Jun 2019
Oscar Arce, Juan Ignacio Peña and Sergio Mayordomo
CNMV, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 3 (617,184)

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sovereign credit default swaps, sovereign bonds, credit spreads, price discovery

29.

The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress

CNMV Working Paper No. 41 (2010)
Number of pages: 54 Posted: 12 Jun 2019
Juan Ignacio Peña, Juan Romo and Sergio Mayordomo
Universidad Carlos III de Madrid - Department of Business Administration, Universidad Carlos III de Madrid and Banco de España
Downloads 1 (639,506)

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Price Discovery, VECM, Credit Derivatives, Credit Spreads

30.

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

CNMV Working Paper No. 47 (2011)
Number of pages: 52 Posted: 12 Jun 2019
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 1 (639,506)

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Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

31.

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
Banco de España and Banco de España
Downloads 0 (657,681)
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short‐sales constraints, financial stability, financial institutions, credit default swap, contagion