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
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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

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.

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 Assistant Professor (tenured)
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).


His current lines of research are devoted to the analysis of credit and liquidity risks. Pedro is also interested in financial and econometric modeling in continuous-time with focus on asset pricing. His research has been published in peers review international journals as Journal of International Money and Finance,
Journal of Banking and Finance and International Review of Economics and Finance, among others.


Pedro is currently deputy director of the Master in Actuarial Sciences at UC3M. He has also served as deputy director
of the Business Administration Department at UC3M, and member of the Committee of the Institute for Business Development (INDEM) also at UC3M. He currently teaches several courses in graduate (Master and PhD) and undergraduate levels.



"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