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Publications
Groba, J. & Serrano, P. (2020) «Foreign monetary policy and firms’ default risk«, The European Journal of Finance, 26:11, 1047-1074.
Serrano, P. Lafuente, J.A., Petit, N. & Ruiz, J.: «Dissecting interbank risk«, The World Economy , Vol.43, Issue 3, March 2020, 729-757.
Serrano, P., Lafuente, J.A. & Petit, N.: «Pricing factors in the multiple-term structures from interbank rates», Journal of International Money and Finance vol. 91, March 2019, 138-159.
Serrano, P., Platania, F. & Tapia, M.: «Modelling the shape of the limit order book», Quantitative Finance vol. 18 (9), January 2018, 1575-1597.
Serrano, P., Lafuente, J.A. & Petit, N.: «Forecasting multiple-term structures from interbank rates», International Review of Financial Analysis vol. 57, February 2018, 40-56.
Serrano, P. & Arakelyan, A. «Liquidity in Credit Default Swap Markets», Journal of Multinational Financial Management vol. 37–38, December 2016, 139-157, (previously entitled ‘On the effects of illiquidity in CDS spreads’)
Arakelyan, A., Rubio, G. & Serrano, P.: «The reward for trading illiquid maturities in credit default swap markets», International Review of Economics and Finance vol. 39 (C), 2015, 376-389.
Serrano, P. & Lafuente, J.A.: «Market frictions and the pricing of sovereign credit default swaps», Journal of International Money and Finance vol. 60, February 2016, 223-252.
Serrano, P. & Lafuente, J.A.: «On the compensation for illiquidity in sovereign credit markets», Journal of Multinational Financial Management vol. 30, March 2015, 83–100.
Serrano, P., Díaz, A. & Groba, J.: «What drives corporate default risk premium? Evidence from the CDS markets» Journal of International Money and Finance, vol. 37 (C), 2013, 529-563.
Serrano, P., Groba, J. & Lafuente, J.A.: «The impact of distressed economies on the EU sovereign market», Journal of Banking and Finance vol. 37 (7), 2013, 2520–2532.
Serrano, P., Moreno, M. & Stute, W.: «Statistical properties and economic implications of jump-diffusion processes with shot-noise effects», European Journal of Operational Research 214, 2011, 656–664.
Book's chapters
Antton Barandiarán, Manuel Moreno y Pedro Serrano, 2009, “Monte Carlo Valuation of CDOs under a Reduced Form Approach,” capítulo en New Frontiers in Insurance and Bank Risk Management, pp.133-148, editado por C. Angela, S. Carrillo Menédez, M. Micocci, E. Navarro Arribas, R. Ottaviani, F. Pressacco. Milano: MCGraw-Hill.
Manuel Moreno, Juan Ignacio Peña y Pedro Serrano, 2008, “Pricing Tranched Credit Products with Generalized Multifactor Models,” capítulo en Credit Risk Models, Derivatives and Management Financial Mathematics Series, pp. 485-510, editado por Niklas Wagner. Boca Raton: Chapman & Hall.
Manuel Moreno y Pedro Serrano, 2008, “Numerical Pricing of Collateral Debt Obligations: A Monte Carlo Approach,” capítulo en Credit Risk Models, Derivatives and Management Financial Mathematics Series, pp. 527-549, editado por Niklas Wagner. Boca Raton: Chapman & Hall.