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Pedro Serrano

Associate Professor of Finance at UC3M


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
pedro serrano web

Selected publications

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.

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., Rubia, A. & Sanchís-Marco, L.: «Market illiquidity and pricing errors in the term structure of CDS spreads«, Journal of International Money and Finance vol. 60, February 2016, 223-252. 

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.