Pedro Gurrola-Perez

World Federation of Exchanges

125 Old Broad Street

London, EC2N 1AR

United Kingdom

http://www.world-exchanges.org

SCHOLARLY PAPERS

8

DOWNLOADS

761

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (8)

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 Department
Downloads 320 (108,880)
Citation 5

Abstract:

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

2.

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 148 (226,355)

Abstract:

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

3.

The Validation of Filtered Historical VaR Models

Number of pages: 19 Posted: 18 Sep 2017
Pedro Gurrola-Perez
World Federation of Exchanges
Downloads 136 (242,313)

Abstract:

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

4.

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 89 (325,956)

Abstract:

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interest rates futures, monetary policy, TIIE futures

5.

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 32 (520,623)

Abstract:

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

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 12 (673,251)

Abstract:

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Payment systems, tiering

7.

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 and Gary Harper
World Federation of Exchanges, The Chinese University of Hong Kong, Shenzhen and Bank of England
Downloads 24 (566,723)

Abstract:

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

8.

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

Abstract:

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