Carlos G. Pedraz

Banco de España

Directorate General Operations, Markets and Payment Systems

Alcala 50

Madrid 28014

Spain

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 46,967

SSRN RANKINGS

Top 46,967

in Total Papers Downloads

2,007

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

How Much Should We Pay for Interconnecting Electricity Markets? A Real Options Approach

Energy Economics, Vol. 34, No. 1, pp. 14–30, January 2012
Number of pages: 36 Posted: 14 Jul 2010 Last Revised: 11 Mar 2013
Álvaro Cartea and Carlos G. Pedraz
University of Oxford and Banco de España
Downloads 537 (99,421)
Citation 7

Abstract:

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Real options, bull call spread, interconnector, electricity prices, jumps, jump filter

2.

Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences

Quantitative Finance (Forthcoming)
Number of pages: 41 Posted: 19 Apr 2012 Last Revised: 02 Aug 2014
Carlos G. Pedraz, Manuel Moreno and Juan Ignacio Peña
Banco de España, University of Castilla-La Mancha and Universidad Carlos III de Madrid
Downloads 389 (145,473)

Abstract:

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Portfolio selection, commodity futures, conditional copulas, skew preferences

3.

Tail Risk in Energy Portfolios

Energy Economics, Forthcoming
Number of pages: 38 Posted: 15 Jan 2013 Last Revised: 02 Aug 2014
Carlos G. Pedraz, Manuel Moreno and Juan Ignacio Peña
Banco de España, University of Castilla-La Mancha and Universidad Carlos III de Madrid
Downloads 362 (157,583)

Abstract:

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Asymmetric DCC, multivariate generalized hyperbolic distributions, tail risk, skewness, risk measure backtests

4.

Market Microstructure Factors in the Determination of Oil Prices

Banco de Espana Article 21/20
Number of pages: 13 Posted: 21 Jul 2020
Carlos G. Pedraz and Maria T. Gonzalez-Perez
Banco de España and Bank of Spain
Downloads 153 (361,759)

Abstract:

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oil prices, COVID-19, volatility, ETFs, futures, spot prices

5.

Leveraged Loans: Definition and Market Development

Banco de Espana Article 29/19
Number of pages: 13 Posted: 23 Oct 2019 Last Revised: 18 Dec 2019
Carlos G. Pedraz
Banco de España
Downloads 142 (384,271)

Abstract:

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leveraged loans, CLO, syndicated loans

6.

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
Banco de España and Banco de España
Downloads 134 (402,115)
Citation 2

Abstract:

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

7.

The Role of Derivatives in Market Strains During the COVID-19 Crisis (El papel de los derivados en las tensiones de los mercados durante la crisis del COVID-19)

Banco de Espana Occasional Paper No. 2123
Number of pages: 24 Posted: 13 Sep 2021
Carlos G. Pedraz and Adrian Van Rixtel
Banco de España and Banco de España - Department of International Economics & International Relations
Downloads 129 (414,217)

Abstract:

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equity derivatives, leverage, retail investors, feedback loops, market functioning

8.

Sentiment analysis of the Spanish Financial Stability Report (Análisis de sentimiento del Informe de Estabilidad Financiera)

Banco de Espana Working Paper No. 2011
Number of pages: 60 Posted: 21 May 2020 Last Revised: 27 Jul 2020
Angel Ivan Moreno and Carlos G. Pedraz
Banco de España and Banco de España
Downloads 117 (445,841)

Abstract:

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text mining, sentiment analysis, natural language processing, central bank communications, financial stability

9.

Systemic Analysis Framework for the Impact of Economic and Financial Risks (Marco De Análisis Sistémico Del Impacto De Los Riesgos Económicos Y Financieros)

Banco de Espana Occasional Paper No. 2311
Number of pages: 43 Posted: 22 May 2023 Last Revised: 07 Sep 2023
Banco de España, Banco de España, Bank of Spain, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España and Banco de España
Downloads 44 (767,558)

Abstract:

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financial markets, financial stability, macroeconomic forecasting models, macro-financial models, macro-financial risk, stress testing