Pedro Gurrola-Perez

World Federation of Exchanges

125 Old Broad Street

London, EC2N 1AR

United Kingdom

http://www.world-exchanges.org

SCHOLARLY PAPERS

15

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1,646

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (15)

1.

Filtered Historical Simulation Value-at-Risk Models and Their Competitors

Bank of England Working Paper No. 525
Number of pages: 33 Posted: 08 Mar 2015
Pedro Gurrola-Perez and David Murphy
World Federation of Exchanges and London School of Economics - Law School
Downloads 560 (76,865)
Citation 6

Abstract:

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Value-at-Risk, filtered historical simulation, conditional volatility, volatility scaling, risk model backtesting

2.

The Validation of Filtered Historical VaR Models

Number of pages: 19 Posted: 18 Sep 2017
Pedro Gurrola-Perez
World Federation of Exchanges
Downloads 244 (193,942)

Abstract:

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Value-at-Risk, Backtesting, Filtered Historical Simulation, Loss Functions, Consistent Score Functions

3.

What Does Academic Research Say about Short-Selling Bans?

WFE Research Working Papers, World Federation of Exchanges
Number of pages: 15 Posted: 02 Feb 2021
Stefano Alderighi and Pedro Gurrola-Perez
Financial Reporting Council - UKEB and World Federation of Exchanges
Downloads 213 (220,839)

Abstract:

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Short-selling bans, Liquidity, Price discovery

4.

Anomalies in the Mexican Interest Rate Futures Market

Number of pages: 25 Posted: 02 Jan 2007
Pedro Gurrola-Perez and Renata Herrerias
World Federation of Exchanges and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 160 (283,818)

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Interest rate futures, day-of-the-week effects, trading patterns

5.

Procyclicality of CCP Margin Models: Systemic Problems Need Systemic Approaches

World Federation of Exchanges Research Working Paper, 2020
Number of pages: 27 Posted: 30 Mar 2021
Pedro Gurrola-Perez
World Federation of Exchanges
Downloads 111 (375,458)
Citation 2

Abstract:

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Central Counterparties (CCP), Procyclicality, Initial Margin Models, Filtered Historical Simulation

6.

Monetary Policy Announcements and Interest Rates Volatility: Evidence from the Mexican TIIE Futures Market

Number of pages: 27 Posted: 09 Feb 2009
Pedro Gurrola-Perez and Renata Herrerias
World Federation of Exchanges and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 104 (392,891)

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interest rates futures, monetary policy, TIIE futures

7.

Volatility patterns of short-term interest rate futures

Number of pages: 42 Posted: 30 Oct 2017 Last Revised: 20 Jan 2021
Pedro Gurrola-Perez and Renata Herrerias
World Federation of Exchanges and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 76 (477,344)

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Short-term interest rates futures, maturity effect, volatility, term structure interest rates

8.

Securities Settlement Fails Network and Buy‑In Strategies

Bank of England Working Paper No. 821, September 2019
Number of pages: 33 Posted: 09 Sep 2019
Pedro Gurrola-Perez, Jieshuang He, Jieshuang He and Gary Harper
World Federation of Exchanges, Indiana University Bloomington - Center for Applied Economics and Policy ResearchThe Chinese University of Hong Kong, Shenzhen and Bank of England
Downloads 71 (495,534)

Abstract:

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settlement, post-trade process, settlement discipline, cascade effects, buy-in

The Impact of De-Tiering in the United Kingdom's Large-Value Payment System

Bank of England Working Paper No. 676
Number of pages: 27 Posted: 13 Sep 2017
Evangelos Benos, Gerardo Ferrara and Pedro Gurrola-Perez
Bank of England, Bank of England and World Federation of Exchanges
Downloads 22 (788,008)

Abstract:

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Payment systems, tiering

10.

Investor types, liquidity and price formation: evidence from the Stock Exchange of Thailand

WFE Research Working Papers: https://www.world-exchanges.org/storage/app/media/The%20World%20Federation%20of%20Exchanges%20Publishes%20a%20Research%20Working%20Paper%20on%20the%20impact%20of%20different%20investor%20types%20on%20liquidity%20and%20price%20formation.pdf
Number of pages: 33 Posted: 18 Nov 2021
Stefano Alderighi and Pedro Gurrola-Perez
Financial Reporting Council - UKEB and World Federation of Exchanges
Downloads 32 (690,388)

Abstract:

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Investor types, liquidity, price efficiency, price discovery, emerging markets

11.

How confident are we of margin model procyclicality measurements?

Number of pages: 20 Posted: 20 Mar 2023
Pedro Gurrola-Perez
World Federation of Exchanges
Downloads 27 (725,176)

Abstract:

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Central counterparties (CCPs), procyclicality, initial margin (IM), margin models, filtered historical simulation

12.

Centralising Bond Trading

Number of pages: 50 Posted: 19 Jan 2023
Evangelos Benos, Pedro Gurrola-Perez and Stefano Alderighi
University of Nottingham, World Federation of Exchanges and Financial Reporting Council - UKEB
Downloads 18 (795,564)

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bond markets, all-to-all trading, market transparency

13.

Circuit Breakers and Market Quality

WFE RESEARCH WORKING PAPER no. 3
Number of pages: 19 Posted: 20 Jun 2022 Last Revised: 01 Dec 2022
Kaitao Lin, Pedro Gurrola-Perez and Bill Speth
World Federation of Exchanges, World Federation of Exchanges and World Federation of Exchanges
Downloads 8 (885,530)

Abstract:

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Circuit breakers, COVID-19, market quality, market-wide circuit breakers, Limit Up/Limit Down

14.

Procyclicality of Central Counterparty Margin Models: Systemic Problems Need Systemic Approaches

Journal of Financial Market Infrastructures, Vol. 10, No. 1, 2021
Posted: 16 Jun 2022
Pedro Gurrola-Perez
World Federation of Exchanges

Abstract:

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central counterparties (CCPs), procyclicality, initial margin (IM), margin models, filtered historical simulation

15.

Capturing Fat Tail Risk in Exchange Rate Returns using SU-curves: A Comparison with the Normal Mixture and Skewed Student Distributions

Journal of Risk, Vol. 10, No. 2, 2007-2008
Posted: 19 Dec 2008
Pedro Gurrola-Perez
World Federation of Exchanges

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SU-distributions, normal mixture, skewed Student distribution, exchange rates