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

PEDRO SERRANO

Profesor de Economía Financiera

Educación

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

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

University of Columbia (New York) - Visiting Scholar - Ene/Ago 2015

Intereses de investigación

Deuda soberana, Riesgo de crédito, Liquidez, Renta fija, Econometría financiera

Publicaciones seleccionadas

"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 es profesor visitante de Finanzas en el departamento de Economía de la Empresa de la Universidad Carlos III desde Febrero de 2008. Obtuvo su doctorado en Finanzas Cuantitativas por la Universidad del País Vasco (Bilbao) en 2008. Ha realizado estancias de investigación en las Universidades de California-Los Ángeles (UCLA), Pompeu Fabra (Barcelona), Carlos III de Madrid (Madrid) y Alicante (Alicante). Actualmente imparte docencia en diversos programas de máster y doctorado.


Sus intereses se centran en la modelización y econometría financiera en tiempo continuo, especialmente en riesgo de crédito. Asimismo ha trabajado en la valoración de derivados y medición del riesgo en general. Sus artículos han sido presentados en numerosos congresos nacionales e internacionales.
"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