PEDRO SERRANO
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email:
pedrojose.serrano@uc3m.es
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address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.21
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phone / fax:
(34) 91 624 89 26 / (34) 91 624 96 07
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BUSINESS UC3M
@UC3M_BUSINESS

PEDRO SERRANO

Associate Professor of Finance

Education

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

University of California Los Angeles (UCLA) - Visiting scholar - Jan/Jul 2011

University of Columbia (New York) - Visiting Scholar - Jan/Aug 2015

Research interests

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

Selected publications

Pricing factors in the multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit,
Journal of International Money and Finance (forthcoming)

Modelling the shape of the limit order book, with Federico Platania and Mikel Tapia,
Quantitative Finance, 18:9, January 2018, pp.1575-1597.

Forecasting multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit,
International Review of Financial Analysis, Volume 57, February 2018, pp. 40-56,

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, Volume 60, February 2016, pp. 223-252.

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.

Pedro Serrano (PhD in Quantitative Finance from Universidad del País Vasco, 2008) is Associate Professor in Finance at the Department of Business Administration at the University Carlos III of Madrid (UC3M). He has previously hold research positions as Visiting Scholar at Universities of Columbia (New York), Califonia-Los Angeles (UCLA), Pompeu Fabra (Barcelona, Spain), Carlos III of Madrid (Madrid, Spain) and Alicante (Alicante, Spain).


Pedro currently teaches in several master's and doctorate programmes at the UC3M. Specifically, he is responsible for courses on asset pricing (PhD and master in actuarial and financial sciences), derivatives (master in finance) and risk management (master in industrial economics). He also coordinates the teaching of Financial Economics at the Business Administration Degree at UC3M. Pedro is currently deputy director of the master's degree in Actuarial and Financial Sciences at UC3M.

His interests focus on quantitative finance, especially continuous time financial modelling and econometrics. He has also worked on the valuation of derivatives and risk measurement in general. His articles have been presented in numerous national and international congresses. He has also collaborated with several private entities in financial risk assessment.




Dissecting interbank risk, with Juan Ángel Lafuente, Nuria Petit and Jesús Ruiz,
The World Economy (forthcoming)

Pricing factors in the multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit,
Journal of International Money and Finance (forthcoming)

Modelling the shape of the limit order book, with Federico Platania and Mikel Tapia,
Quantitative Finance, 18:9, January 2018, pp.1575-1597.

Forecasting multiple-term structures from interbank rates, with Juan Ángel Lafuente and Nuria Petit,
International Review of Financial Analysis, Volume 57, February 2018, pp. 40-56,

Liquidity in Credit Default Swap Markets, with Armen Arakelyan,
Journal of Multinational Financial Management, Volumes 37–38, December 2016, pp. 139-157,
(previously entitled On the effects of illiquidity in CDS spreads)

The reward for trading illiquid maturities in credit default swap markets, with Armen Arakelyan and Gonzalo Rubio,
International Review of Economics and Finance, Volume 39, September 2015, pp. 376–389.

Market frictions and the pricing of sovereign credit default swaps, with Antonio Rubia and Lidia Sanchís-Marco,
Journal of International Money and Finance, Volume 60, February 2016, pp. 223-252.

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.