{"id":5068,"date":"2025-04-01T05:39:45","date_gmt":"2025-04-01T05:39:45","guid":{"rendered":"https:\/\/indem.uc3m.es\/?post_type=members&#038;p=5068"},"modified":"2026-10-01T17:51:02","modified_gmt":"2026-10-01T15:51:02","slug":"pedro-serrano","status":"publish","type":"members","link":"https:\/\/indem.uc3m.es\/es\/members\/pedro-serrano\/","title":{"rendered":"Pedro Serrano"},"content":{"rendered":"<p><img fetchpriority=\"high\" decoding=\"async\" width=\"1140\" height=\"1140\" src=\"https:\/\/indem.uc3m.es\/wp-content\/uploads\/2025\/04\/perfil-pedro-serrano.png\" alt=\"\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/p>\n<ul>\n<li>\n\t\t\t\t\t\t\t\t\t\t\t<a href=\"mailto:pedrojose.serrano@uc3m.es\"><\/p>\n<p>\t\t\t\t\t\t\t\t\t\tEmail: pedrojose.serrano@uc3m.es<br \/>\n\t\t\t\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n<p>\t\t\t\t\t\t\t\t\t\tDirecci\u00f3n \/ oficina:C\/ Madrid, 126 &#8211; 28903 Getafe (Madrid) Spain \/ 6.0.24\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n<p>\t\t\t\t\t\t\t\t\t\tTel\u00e9fono \/ fax: (34) 91 624 89 26\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n\t\t\t\t\t\t\t\t\t\t\t<a href=\"https:\/\/www.pedroserrano.net\/\" target=\"_blank\" rel=\"noopener\"><\/p>\n<p>\t\t\t\t\t\t\t\t\t\tSitio web personal<br \/>\n\t\t\t\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n\t\t\t\t\t\t\t\t\t\t\t<a href=\"https:\/\/scholar.google.es\/citations?view_op=list_works&amp;hl=es&amp;user=5g5Ga1oAAAAJ\" target=\"_blank\" rel=\"noopener\"><\/p>\n<p>\t\t\t\t\t\t\t\t\t\tGoogle Scholar<br \/>\n\t\t\t\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t<\/li>\n<\/ul>\n<p>\t\t\t\t<a href=\"https:\/\/x.com\/uc3m_business?lang=es\" tabindex=\"-1\" aria-label=\"BUSINESS UC3M\"><br \/>\n\t\t\t\t\t\t\t\t<\/a><\/p>\n<h3>\n\t\t\t\t\t\t<a href=\"https:\/\/x.com\/uc3m_business?lang=es\"><br \/>\n\t\t\t\t\t\t\tBUSINESS UC3M\t\t\t\t\t\t<\/a><br \/>\n\t\t\t\t\t<\/h3>\n<p>\n\t\t\t\t\t\t@UC3M_BUSINESS\t\t\t\t\t<\/p>\n<h2>Educaci\u00f3n<\/h2>\n<p>Phd. in Quantitative Finance, Universidad del Pa\u00eds Vasco (Bilbao, Spain) &#8211; Ene 2008<\/p>\n<p>University of California Los Angeles (UCLA) &#8211; Visiting scholar &#8211; Ene\/Jul 2011<\/p>\n<p>University of Columbia (New York) &#8211; Visiting Scholar &#8211; Ene\/Ago 20<\/p>\n<h2>Intereses de Investigaci\u00f3n<\/h2>\n<p>Finanzas cuantitativas, Deuda soberana, Riesgo de cr\u00e9dito, Liquidez, Renta fija, Econometr\u00eda financiera<\/p>\n<h2>Publicaciones seleccionadas<\/h2>\n<p>Serrano, P., Lafuente, J.A. &amp; Petit, N.: \u00ab<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0261560618306922\" target=\"_blank\" rel=\"noopener\">Pricing factors in the multiple-term structures from interbank rates<\/a>\u00ab,\u00a0Journal of International Money and Finance\u00a0vol. 91, March 2019, 138-159.\u00a0<\/p>\n<p>Serrano, P., Platania, F. &amp; Tapia, M.: \u00ab<a href=\"https:\/\/www.tandfonline.com\/doi\/abs\/10.1080\/14697688.2018.1433312?journalCode=rquf20\" target=\"_blank\" rel=\"noopener\">Modelling the shape of the limit order book<\/a>\u00ab,\u00a0Quantitative Finance\u00a0vol. 18 (9), January 2018, 1575-1597.<\/p>\n<p>Serrano, P., Lafuente, J.A. &amp; Petit, N.: \u00ab<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1057521918301005\" target=\"_blank\" rel=\"noopener\">Forecasting multiple-term structures from interbank rates<\/a>\u00ab,\u00a0International Review of Financial Analysis\u00a0vol. 57, February 2018, 40-56.<\/p>\n<p>Arakelyan, A., Rubio, G. &amp; Serrano, P.: \u00ab<a href=\"https:\/\/econpapers.repec.org\/article\/eeereveco\/v_3a39_3ay_3a2015_3ai_3ac_3ap_3a376-389.htm\" target=\"_blank\" rel=\"noopener\">The reward for trading illiquid maturities in credit default swap markets<\/a>\u00ab,\u00a0International Review of Economics and Finance\u00a0vol. 39 (C), 2015, 376-389.<\/p>\n<p>Serrano, P., Rubia, A. &amp; Sanch\u00eds-Marco, L.: \u00ab<a href=\"https:\/\/ideas.repec.org\/a\/eee\/jimfin\/v60y2016icp223-252.html\" target=\"_blank\" rel=\"noopener\">Market illiquidity and pricing errors in the term structure of CDS spreads<\/a>\u00ab,\u00a0Journal of International Money and Finance\u00a0vol. 60, February 2016, 223-252.\u00a0<\/p>\n<p>Serrano, P., D\u00edaz, A. &amp; Groba, J.: \u00ab<a href=\"https:\/\/ideas.repec.org\/a\/eee\/jimfin\/v37y2013icp529-563.html\" target=\"_blank\" rel=\"noopener\">What drives corporate default risk premium? Evidence from the CDS markets<\/a>\u00bb\u00a0Journal of International Money and Finance, vol. 37 (C), 2013, 529-563.\u00a0<\/p>\n<p>Serrano, P., Groba, J. &amp; Lafuente, J.A.: \u00ab<a href=\"https:\/\/ideas.repec.org\/a\/eee\/jbfina\/v37y2013i7p2520-2532.html\" target=\"_blank\" rel=\"noopener\">The impact of distressed economies on the EU sovereign market<\/a>\u00ab,\u00a0Journal of Banking and Finance\u00a0vol.\u00a037 (7), 2013, 2520\u20132532.<\/p>\n<p>\t\t\t\t\t\t\t\t\tBio<br \/>\n\t\t\t\t\t\t\t\t\tPedro Serrano es Profesor Titular de Econom\u00eda Financiera y Contabilidad en el departamento de Econom\u00eda de la Empresa de la Universidad Carlos III desde Febrero de 2019. Obtuvo su doctorado en Finanzas Cuantitativas por la Universidad del Pa\u00eds Vasco (Bilbao) en 2008. Ha realizado estancias de investigaci\u00f3n en las Universidades de Columbia (NY), California-Los \u00c1ngeles (UCLA), Pompeu Fabra (Barcelona), Carlos III de Madrid (Madrid) y Alicante (Alicante).\u00a0Actualmente imparte docencia en diversos programas de m\u00e1ster y doctorado de la UC3M. En concreto, es responsable de los cursos de valoraci\u00f3n de activos (PhD y master en ciencias actuariales y financieras), valoraci\u00f3n de derivados (master in finance) y gesti\u00f3n del riesgo (m\u00e1ster en econom\u00eda industrial). Tambi\u00e9n coordina la docencia de Econom\u00eda Financiera del Grado de ADE de la UC3M. En la actualidad, Pedro es subdirector del m\u00e1ster en Ciencias Actuariales y Financieras de la UC3M.\u00a0Sus intereses se centran en las finanzas cuantitativas, especialmente en la modelizaci\u00f3n y econometr\u00eda financiera en tiempo continuo. Asimismo ha trabajado en la valoraci\u00f3n de derivados y medici\u00f3n del riesgo en general. Sus art\u00edculos han sido presentados en numerosos congresos nacionales e internacionales. Tambi\u00e9n ha colaborado con diversas entidades privadas en el asesoramiento de riesgos financieros.\t\t\t\t\t\t\t\t\t<\/p>\n<p>\t\t\t\t\t\t\t\t\tPublicaciones<\/p>\n<p>Groba, J. &amp; Serrano, P. (2020) \u00ab<a href=\"https:\/\/doi.org\/10.1080\/1351847X.2019.1710225\" target=\"_blank\" rel=\"noopener\">Foreign monetary policy and firms&#8217; default risk<\/a>\u00ab,\u00a0The European Journal of Finance, 26:11, 1047-1074.<\/p>\n<p>Serrano, P. Lafuente, J.A., Petit, N. &amp; Ruiz, J.: \u00ab<a href=\"https:\/\/doi.org\/10.1111\/twec.12878\" target=\"_blank\" rel=\"noopener\">Dissecting interbank risk<\/a>\u00ab,\u00a0The World Economy ,\u00a0Vol.43, Issue 3, March 2020, 729-757.<\/p>\n<p>Serrano, P., Lafuente, J.A. &amp; Petit, N.: \u00abPricing factors in the multiple-term structures from interbank rates\u00bb,\u00a0Journal of International Money and Finance\u00a0vol. 91, March 2019, 138-159.\u00a0<\/p>\n<p>Serrano, P., Platania, F. &amp; Tapia, M.: \u00abModelling the shape of the limit order book\u00bb,\u00a0Quantitative Finance\u00a0vol. 18 (9), January 2018, 1575-1597.<\/p>\n<p>Serrano, P., Lafuente, J.A. &amp; Petit, N.: \u00abForecasting multiple-term structures from interbank rates\u00bb,\u00a0International Review of Financial Analysis\u00a0vol. 57, February 2018, 40-56.<\/p>\n<p>Serrano, P. &amp; Arakelyan, A. \u00abLiquidity in Credit Default Swap Markets\u00bb,\u00a0Journal of Multinational Financial Management\u00a0vol. 37\u201338, December 2016, 139-157, (previously entitled &#8216;On the effects of illiquidity in CDS spreads&#8217;)<\/p>\n<p>Arakelyan, A., Rubio, G. &amp; Serrano, P.: \u00abThe reward for trading illiquid maturities in credit default swap markets\u00bb,\u00a0International Review of Economics and Finance\u00a0vol. 39 (C), 2015, 376-389.<\/p>\n<p>Serrano, P. &amp; Lafuente, J.A.: \u00abMarket frictions and the pricing of sovereign credit default swaps\u00bb,\u00a0Journal of International Money and Finance\u00a0vol.\u00a060, February 2016, 223-252.<\/p>\n<p>Serrano, P. &amp; Lafuente, J.A.: \u00abOn the compensation for illiquidity in sovereign credit markets\u00bb,\u00a0Journal of Multinational Financial Management\u00a0vol. 30, March 2015, 83\u2013100.<\/p>\n<p>Serrano, P., D\u00edaz, A. &amp; Groba, J.: \u00abWhat drives corporate default risk premium? Evidence from the CDS markets\u00bb\u00a0Journal of International Money and Finance, vol. 37 (C), 2013, 529-563.\u00a0<\/p>\n<p>Serrano, P., Groba, J. &amp; Lafuente, J.A.: \u00abThe impact of distressed economies on the EU sovereign market\u00bb,\u00a0Journal of Banking and Finance\u00a0vol.\u00a037 (7), 2013, 2520\u20132532.<\/p>\n<p>Serrano, P., Moreno, M. &amp; Stute, W.: \u00abStatistical properties and economic implications of jump-diffusion processes with shot-noise effects\u00bb,\u00a0European Journal of Operational Research\u00a0214, 2011, 656\u2013664.<\/p>\n<ul>\n<li>\n\t\t\t\t\t\t\t\t\t\t\t<a href=\"mailto:%20pedrojose.serrano@uc3m.es\"><\/p>\n<p>\t\t\t\t\t\t\t\t\t\tEmail: pedrojose.serrano@uc3m.es<br \/>\n\t\t\t\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n<p>\t\t\t\t\t\t\t\t\t\tDirecci\u00f3n \/ oficina: C\/ Madrid, 126 &#8211; 28903 Getafe (Madrid) Spain \/ 6.0.24\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n<p>\t\t\t\t\t\t\t\t\t\tTel\u00e9fono \/ fax: (34) 91 624 89 26\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n\t\t\t\t\t\t\t\t\t\t\t<a href=\"https:\/\/www.pedroserrano.net\/\" target=\"_blank\" rel=\"noopener\"><\/p>\n<p>\t\t\t\t\t\t\t\t\t\tSitio web personal<br \/>\n\t\t\t\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t<\/li>\n<li>\n\t\t\t\t\t\t\t\t\t\t\t<a href=\"https:\/\/scholar.google.es\/citations?view_op=list_works&amp;hl=es&amp;user=5g5Ga1oAAAAJ\" target=\"_blank\" rel=\"noopener\"><\/p>\n<p>\t\t\t\t\t\t\t\t\t\tGoogle Scholar<br \/>\n\t\t\t\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t<\/li>\n<\/ul>\n<p>\t\t\t\t<a href=\"https:\/\/x.com\/uc3m_business?lang=es\" tabindex=\"-1\" aria-label=\"BUSINESS UC3M\"><br \/>\n\t\t\t\t\t\t\t\t<\/a><\/p>\n<h3>\n\t\t\t\t\t\t<a href=\"https:\/\/x.com\/uc3m_business?lang=es\"><br \/>\n\t\t\t\t\t\t\tBUSINESS UC3M\t\t\t\t\t\t<\/a><br 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