PEDRO SERRANO
e-mail
email:
pedrojose.serrano@uc3m.es
telefono
address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.21
telefono
phone / fax:
(34) 91 624 89 26 / (34) 91 624 96 07
twitter

BUSINESS UC3M
@UC3M_BUSINESS

PEDRO SERRANO

Associate Professor of Finance

Education

Phd. in Quantitative Finance, Universidad del País Vasco (Bilbao, Spain), January 2008

Research interests

Sovereign debt, Credit risk, Liquidity, Fixed income, Financial econometrics

Selected publications

"The reward for trading illiquid maturities in credit default swap markets", con Armen Arakelyan y Gonzalo Rubio, International Review of Economics and Finance, 39 (2015), pp. 376-389.

"Maket illiquidity and pricing errors in the term structure of CDS spreads", with Antonio Rubia and Lidia Sanchís-Marco, Journal of International Money and Finance, forthcoming.

"On the compensation for illiquidity in sovereign credit markets", with Juan Ángel Lafuente, Journal of Multinational Financial Management, Volume 30, March 2015, pp. 83–100.
Pedro Serrano is assistant professor in Finance at the Department of Business Administration at Carlos III University. He holds a Ph. D. in Quantitative Finance from University of Basque Country (Bilbao, Spain). He has previously held research positions as visiting scholar at Universities of Califonia-Los Angeles (UCLA), Pompeu Fabra (Barcelona, Spain), Carlos III of Madrid (Madrid, Spain) and Alicante (Alicante, Spain). He currently teaches several courses in master and graduate levels.


His current lines of research are financial and econometric modeling in continuous-time with focus on credit derivatives, derivates, estimation of pricing models and credit risk issues. He has also presente
"The reward for trading illiquid maturities in credit default swap markets", con Armen Arakelyan y Gonzalo Rubio, International Review of Economics and Finance, 39 (2015), pp. 376-389.

"Maket illiquidity and pricing errors in the term structure of CDS spreads", with Antonio Rubia and Lidia Sanchís-Marco, Journal of International Money and Finance, forthcoming.

"On the compensation for illiquidity in sovereign credit markets", with Juan Ángel Lafuente, Journal of Multinational Financial Management, Volume 30, March 2015, pp. 83–100.

What drives corporate default risk premium? Evidence from the CDS markets", with Antonio Díaz and Jonatan Groba, Journal of International Money and Finance, 37 (2013), pp. 529-563.

"The impact of distressed economies on the EU sovereign market", with Jonatan Groba and Juan Ángel Lafuente, Journal of Banking and Finance, 37 (2013) pp. 2520–2532.

"Statistical properties and economic implications of jump-diffusion processes with shot-noise effects", with Manuel Moreno and Winfried Stute, European Journal of Operational Research, 214 (2011) pp. 656–664.

"Monte Carlo Valuation of CDOs under a Reduced Form Approach", with Antton Barandiarán and Manuel Moreno, in New Frontiers in Insurance and Bank Risk Management, 2009, pp. 133-148, edited by C. Angela, S. Carrillo Menédez, M. Micocci, E. Navarro Arribas, R. Ottaviani, F. Pressacco. Milano: MCGraw-Hill.

”Pricing Tranched Credit Products with Generalized Multifactor Models”, joint with M. Moreno and J.I. Peña, in Credit Risk Models, Derivatives and Management (Ed. Niklas Wagner) Financial Mathematics Series Vol. 6, Chapman & Hall, 2007.

“Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach”, joint with M. Moreno, in Credit Risk Models, Derivatives and Management (Ed. Niklas Wagner) Financial Mathematics Series Vol. 6, Chapman & Hall, 2007.
Pricing factors in the multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit, November 2015

Determinants of the multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit, June 2015

On the effects of illiquidity in CDS spreads, with Armen Arakelyan, August 2012