Sergio Mayordomo

Banco de España

Alcala 50

Madrid 28014

Spain

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 9,496

SSRN RANKINGS

Top 9,496

in Total Papers Downloads

6,475

SSRN CITATIONS
Rank 1,495

SSRN RANKINGS

Top 1,495

in Total Papers Citations

392

CROSSREF CITATIONS

451

Scholarly Papers (40)

1.
Downloads 845 ( 36,597)
Citation 10

Are All Credit Default Swap Databases Equal?

Number of pages: 53 Posted: 22 Nov 2010 Last Revised: 17 Jan 2013
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 792 (39,493)
Citation 2

Abstract:

Loading...

Credit Default Swap Prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

Number of pages: 67 Posted: 13 Dec 2010 Last Revised: 02 May 2021
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 38 (552,245)

Abstract:

Loading...

Are All Credit Default Swap Databases Equal?

CNMV Working Paper No. 44 (2010)
Number of pages: 68 Posted: 12 Jun 2019
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 15 (711,422)
Citation 7

Abstract:

Loading...

Credit Default Swap prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

European Financial Management, Vol. 20, Issue 4, pp. 677-713, 2014
Number of pages: 37 Posted: 16 Sep 2014
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 0
  • Add to Cart

Abstract:

Loading...

credit default swap prices, databases, liquidity

2.

Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis

Number of pages: 37 Posted: 03 Aug 2011 Last Revised: 07 Feb 2012
Oscar Arce, Sergio Mayordomo and Juan Ignacio Peña
CNMV, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 577 (60,648)
Citation 15

Abstract:

Loading...

Sovereign Credit Default Swaps, Sovereign Bonds, Credit Spreads, Price Discovery

Adapting lending policies in a “negative-for-long” scenario

Swiss Finance Institute Research Paper No. 21-75
Number of pages: 48 Posted: 30 Apr 2018 Last Revised: 11 Nov 2021
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and FinanceNTNU Business School
Downloads 221 (176,159)
Citation 1

Abstract:

Loading...

negative interest rates, risk taking, lending policies

Adapting lending policies in a “negative-for-long” scenario (Updated October 2020)

Banco de Espana Working Paper No. 1832
Number of pages: 46 Posted: 08 Oct 2018 Last Revised: 15 Oct 2020
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and FinanceNTNU Business School
Downloads 130 (278,586)
Citation 27

Abstract:

Loading...

negative interest rates, negative for long, lending policies, banks capital ratio, risk taking

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 30 Apr 2018
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and FinanceNTNU Business School
Downloads 84 (375,880)
Citation 21

Abstract:

Loading...

negative interest rates; risk taking; lending policies

4.

Derivatives Holdings and Systemic Risk in the U.S. Banking Sector

Number of pages: 43 Posted: 18 Dec 2011 Last Revised: 15 Jun 2013
University of Navarra - Department of Microbiology and Infectious Diseases, Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 411 (91,658)
Citation 10

Abstract:

Loading...

Systemic risk, derivatives, Shapley value

5.
Downloads 408 ( 92,454)
Citation 37

Dealing with Dealers: Sovereign CDS Comovements

IESE Business School Working Paper No. WP-1090-E
Number of pages: 57 Posted: 08 Dec 2013 Last Revised: 05 Jul 2017
Miguel Anton, Sergio Mayordomo and Maria Rodriguez-Moreno
University of Navarra, IESE Business School, Banco de España and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 366 (103,845)
Citation 21

Abstract:

Loading...

Sovereign CDS, comovements, commonalities, dealers

Dealing with Dealers: Sovereign CDS Comovements

Banco de Espana Working Paper No. 1723
Number of pages: 43 Posted: 11 Jul 2017 Last Revised: 15 Jul 2017
Miguel Anton, Sergio Mayordomo and Maria Rodriguez-Moreno
University of Navarra, IESE Business School, Banco de España and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 42 (531,415)
Citation 17

Abstract:

Loading...

Sovereign CDS, Comovements, Commonalities, Dealers

6.

Mutual Funding

Number of pages: 74 Posted: 22 Dec 2014 Last Revised: 26 Jan 2019
Javier Gil-Bazo, Peter Hoffmann and Sergio Mayordomo
Universitat Pompeu Fabra, European Central Bank (ECB) and Banco de España
Downloads 339 (114,010)
Citation 3

Abstract:

Loading...

Financial Conglomerates, Mutual Funds, Agency Conflicts, Financial Crisis, Sovereign Debt Crisis

7.

A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets

Number of pages: 42 Posted: 29 Mar 2011 Last Revised: 08 Mar 2013
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 335 (115,586)
Citation 5

Abstract:

Loading...

Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

8.

Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE

Number of pages: 43 Posted: 06 Jul 2017 Last Revised: 24 Nov 2017
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 272 (144,037)
Citation 2

Abstract:

Loading...

Bank Capital Requirements, Loan Guarantees and Firm Performance

Swiss Finance Institute Research Paper No. 19-28
Number of pages: 46 Posted: 06 Jun 2019 Last Revised: 09 Jun 2019
Banco de España, School of Economics and Business, University of Navarra, University of Zurich - Department of Banking and FinanceNTNU Business School and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 218 (178,519)
Citation 34

Abstract:

Loading...

Banks, Asymmetric Information, Real Guarantees, Personal Guarantees, Risk Taking, Capital Requirements

'Keeping it Personal' or 'Getting Real'? On the Drivers and Effectiveness of Personal versus Real Loan Guarantees

Banco de Espana Working Paper No. 1715
Number of pages: 54 Posted: 09 May 2017
Banco de España, School of Economics and Business, University of Navarra, University of Zurich - Department of Banking and FinanceNTNU Business School and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 32 (586,400)
Citation 19

Abstract:

Loading...

banks, asymmetric information, real guarantees, personal guarantees, risk-taking, capital requirements

Did the bank capital relief induced by the Supporting Factor enhance SME lending?

Number of pages: 50 Posted: 16 Nov 2016 Last Revised: 10 Dec 2017
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 200 (193,600)
Citation 1

Abstract:

Loading...

SME, Credit Access, Supporting Factor, Bank Lending

Did the Bank Capital Relief Induced by the Supporting Factor Enhance SME Lending?

Banco de Espana Working Paper No. 1746
Number of pages: 41 Posted: 16 Dec 2017
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 35 (568,863)
Citation 37

Abstract:

Loading...

SME, credit access, supporting factor, bank lending

11.

An Empirical Analysis of the Dynamic Dependences in the European Corporate Credit Markets: Bonds vs. Credit Derivatives

Number of pages: 38 Posted: 04 Dec 2010 Last Revised: 12 Nov 2012
Sergio Mayordomo and Juan Ignacio Peña
Banco de España and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 209 (185,999)
Citation 3

Abstract:

Loading...

Credit Spreads, Market Dynamic Dependence, DCC-GARCH

Towards a Common European Monetary Union Risk Free Rate

Number of pages: 32 Posted: 14 Mar 2010 Last Revised: 23 Feb 2012
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 175 (218,101)
Citation 1

Abstract:

Loading...

Euro government bonds, Credit quality, Liquidity, Macro factors

Towards a Common European Monetary Union Risk Free Rate

CNMV Working Paper No. 51 (2011)
Number of pages: 56 Posted: 12 Jun 2019
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 9 (762,732)
Citation 1

Abstract:

Loading...

Euro government bonds; Credit quality; Liquidity; Macro factors

13.

Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain

Number of pages: 39 Posted: 03 Apr 2011 Last Revised: 26 Jun 2013
Banco de España, University of Navarra - Department of Microbiology and Infectious Diseases and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 179 (213,859)

Abstract:

Loading...

Portfolio choice, Households, Indivisible illiquid assets, Financial constraints, Under-investment, Over-investment

14.

Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market

Number of pages: 40 Posted: 24 Jun 2012 Last Revised: 21 May 2014
Oscar Arce and Sergio Mayordomo
Banco de España and Banco de España
Downloads 178 (214,863)
Citation 1

Abstract:

Loading...

short-sales constraint, financial stability, market quality

15.

Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis

Number of pages: 49 Posted: 29 Sep 2011 Last Revised: 22 Oct 2012
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 175 (217,982)
Citation 1

Abstract:

Loading...

Credit Default Swap, Liquidity Commonalities, Global Risk, Funding Liquidity Risk, Counterparty Risk

16.

Does Central Clearing Benefit Risky Dealers?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 31 Posted: 31 Dec 2014 Last Revised: 10 Mar 2016
Sergio Mayordomo and Peter N. Posch
Banco de España and TU Dortmund University
Downloads 158 (237,709)
Citation 5

Abstract:

Loading...

central clearing, counterparty risk, credit default swaps

17.

When Does Relationship Lending Start to Pay?

Number of pages: 33 Posted: 15 Jan 2016 Last Revised: 19 Jan 2016
Germán López-Espinosa, Sergio Mayordomo and Antonio Moreno
School of Economics - University of Navarra and IESE Business School, Banco de España and School of Economics and Business, University of Navarra
Downloads 126 (284,217)
Citation 14

Abstract:

Loading...

Asymmetric Information, Banks, Interest Rate spreads, Loans, Relationship Lending Dimensions

18.

Making Room for the Needy: The Credit-Reallocation Effects of the ECB's Corporate QE

Banco de Espana Working Paper No. 1743
Number of pages: 39 Posted: 12 Dec 2017
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 113 (307,318)
Citation 38

Abstract:

Loading...

unconventional monetary policy, Corporate Sector Purchase Programme, quantitative

19.

Spanish Non-Financial Corporations’ Liquidity Needs and Solvency After the COVID-19 Shock (Las necesidades de liquidez y la solvencia de las empresas no financieras españolas tras la perturbación del Covid-19)

Banco de Espana Occasional Paper No. 2020
Number of pages: 31 Posted: 31 Jul 2020 Last Revised: 11 Aug 2020
Banco de España, Banco de España, Banco de España and Banco de España
Downloads 109 (315,139)

Abstract:

Loading...

COVID-19, firms’ liquidity needs, credit, guarantees, insolvency risk

20.

Credit Fire Sales: Captive Lending as Liquidity in Distress

Number of pages: 65 Posted: 18 Feb 2021 Last Revised: 22 Apr 2021
University of California, Berkeley - Haas School of BusinessLondon School of Economics & Political Science (LSE) - London School of Economics, Banco de España and London School of Economics & Political Science (LSE)
Downloads 107 (319,143)

Abstract:

Loading...

captive finance, fire sales, car loans, vertical integration, liquidity, distress

21.

Borrowing Constraints and Housing Price Expectations in the Euro Area

Number of pages: 40 Posted: 08 Sep 2015
Miguel Ampudia and Sergio Mayordomo
European Central Bank (ECB) - Directorate General Research and Banco de España
Downloads 78 (388,957)
Citation 2

Abstract:

Loading...

Disentangling the Effects of Household Financial Constraints and Risk Profile on Mortgage Rates

Number of pages: 47 Posted: 05 May 2015 Last Revised: 29 Mar 2016
University of Granada, Banco de España and University of Granada - Department of Economic Theory and History
Downloads 72 (411,475)

Abstract:

Loading...

mortgages, financial constraints, credit risk

Disentangling the Effects of Household Financial Constraints and Risk Profile on Mortgage Rates

Journal of Real Estate Finance and Economics, Vol. 56, No. 1, 2018
Posted: 08 Feb 2018
University of Granada, Banco de España and University of Granada - Department of Economic Theory and History

Abstract:

Loading...

Households; Mortgages; Financial Constraints; Credit Risk

23.

Credit-Valuation in the Sovereing CDS and Bonds Markets: Evidence from the Euro Area Crisis

CNMV Working Paper No. 53 (2012)
Number of pages: 44 Posted: 12 Jun 2019
Oscar Arce, Juan Ignacio Peña and Sergio Mayordomo
CNMV, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 71 (409,887)
Citation 2

Abstract:

Loading...

sovereign credit default swaps, sovereign bonds, credit spreads, price discovery

24.

Trademark Activity and the Market Performance of U.S. Commercial Banks

Journal of Business Economics and Management, Forthcoming
Number of pages: 27 Posted: 20 Apr 2012
Carlos G. Pedraz and Sergio Mayordomo
Banco de España and Banco de España
Downloads 66 (426,151)
Citation 2

Abstract:

Loading...

Intangible assets, trademarks, Tobin’s q, abnormal returns, event studies

25.

The Impact of the Covid-19 Crisis on the Financial Position of Non-Financial Corporations in 2020: CBSO-based Evidence

Banco de Espana Article 39/20
Number of pages: 22 Posted: 08 Dec 2020
Banco de España, Banco de España, Banco de España and Banco de España
Downloads 63 (436,410)

Abstract:

Loading...

activity, earnings, financial position, non-financial corporations, COVID-19

Recent Developments in Financing and Bank Lending to the Non-financial Private Sector

Banco de Espana Article 28/20
Number of pages: 27 Posted: 18 Nov 2020 Last Revised: 12 Feb 2021
Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España and Banco de España
Downloads 36 (563,222)

Abstract:

Loading...

financing, lending, households, non-financial corporations, deposit institutions, non-performing loans ratio, public guarantees, moratoria

The Impact of Alternative Forms of Bank Consolidation on Credit Supply and Financial Stability

Banco de Espana Working Paper No. 2021
Number of pages: 55 Posted: 21 Jul 2020
Sergio Mayordomo, Nicola Pavanini and Emanuele Tarantino
Banco de España, Tilburg University and Luiss Guido Carli University
Downloads 55 (472,940)
Citation 28

Abstract:

Loading...

bank consolidation, mergers, business groups, credit supply, financial stability, welfare

The Impact of Alternative Forms of Bank Consolidation on Credit Supply and Financial Stability

Number of pages: 64 Posted: 28 Jul 2020 Last Revised: 22 Sep 2021
Sergio Mayordomo, Nicola Pavanini and Emanuele Tarantino
Banco de España, Tilburg University and Luiss Guido Carli University
Downloads 0
  • Add to Cart

Abstract:

Loading...

28.

The Effects of the Eurosystem’s Corporate Sector Purchase Programme on Spanish Companies

Banco de Espana Article 2/18
Number of pages: 6 Posted: 01 Mar 2018
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 53 (473,332)
Citation 2

Abstract:

Loading...

29.

Short-Sale Constraints and Financial Stability: Evidence from the Spanish Market

Banco de Espana Working Paper No. 1410
Number of pages: 30 Posted: 03 Jun 2014
Oscar Arce and Sergio Mayordomo
Banco de España and Banco de España
Downloads 51 (481,415)
Citation 46

Abstract:

Loading...

short-sales constraints, financial stability, financial institutions, credit default swap, contagion

Dollar Borrowing, Firm-Characteristics, and FX-Hedged Funding Opportunities

Banco de Espana Working Paper No. 2005 (2020)
Number of pages: 39 Posted: 05 Mar 2020
Bank for International Settlements (BIS), Banco de España and Bank for International Settlements (BIS)
Downloads 31 (592,527)
Citation 45

Abstract:

Loading...

covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, limits of arbitrage

Dollar Borrowing, Firm-Characteristics, and FX-Hedged Funding Opportunities

BIS Working Paper No. 843
Number of pages: 40 Posted: 09 Mar 2020
Bank for International Settlements (BIS), Banco de España and Bank for International Settlements (BIS)
Downloads 19 (679,291)

Abstract:

Loading...

covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, limits of arbitrage

Dollar Borrowing, Firm-Characteristics, and FX-Hedged Funding Opportunities

Number of pages: 39 Posted: 03 Mar 2020
Bank for International Settlements (BIS), Banco de España and Bank for International Settlements (BIS)
Downloads 0
  • Add to Cart

Abstract:

Loading...

Covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, Limits of arbitrage

31.

The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress

CNMV Working Paper No. 41 (2010)
Number of pages: 54 Posted: 12 Jun 2019
Juan Ignacio Peña, Juan Romo and Sergio Mayordomo
Universidad Carlos III de Madrid - Department of Business Administration, Universidad Carlos III de Madrid and Banco de España
Downloads 43 (516,155)
Citation 12

Abstract:

Loading...

Price Discovery, VECM, Credit Derivatives, Credit Spreads

32.

Adapting Lending Policies Against a Background of Negative Interest Rates

Banco de Espana Article 5/19
Number of pages: 9 Posted: 29 Mar 2019
Oscar Arce, Miguel Garcia-Posada and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 41 (525,544)
Citation 1

Abstract:

Loading...

negative interest rates; risk-taking; lending policies

33.

The China Syndrome Affects Banks: The Credit Supply Channel of Foreign Import Competition (Updated February 2020)

Banco de Espana Working Paper No. 1908 (2019)
Number of pages: 60 Posted: 21 Mar 2019 Last Revised: 26 Feb 2020
Sergio Mayordomo and Omar Rachedi
Banco de España and Banco de España
Downloads 37 (545,343)
Citation 40

Abstract:

Loading...

trade shock, credit register, banks’ portfolio reallocation, bank loans, real effects

34.

How Do European Banks Cope with Macroprudential Capital Requirements?

Number of pages: 39 Posted: 29 Jun 2018 Last Revised: 19 Oct 2018
Sergio Mayordomo and Maria Rodriguez-Moreno
Banco de España and University of Navarra - Department of Microbiology and Infectious Diseases
Downloads 30 (583,524)
Citation 2

Abstract:

Loading...

European Banks; Macroprudential Requirement; Capital Ratio; Risk Weighed Assets

35.

Impact of the COVID-19 Crisis on Spanish Firms’ Financial Vulnerability (El impacto de la crisis del COVID-19 sobre la vulnerabilidad financiera de las empresas españolas)

Banco de Espana Occasional Paper No. 2119
Number of pages: 39 Posted: 27 Aug 2021
Banco de España, Banco de España, Banco de España and Banco de España
Downloads 22 (635,820)

Abstract:

Loading...

COVID-19, liquidity needs, profitability, indebtedness, credit, solvency, viability

36.

The Effects of the Eurosystem's Corporate Sector Purchase Programme on Spanish Companies

Economic Bulletin, Article 2/2018
Number of pages: 6 Posted: 24 Jan 2018
Oscar Arce, Ricardo Gimeno and Sergio Mayordomo
Banco de España, Banco de España and Banco de España
Downloads 21 (642,909)

Abstract:

Loading...

37.

A New Test of Statistical Arbitraje with Applications to Credit Derivatives Markets

CNMV Working Paper No. 47 (2011)
Number of pages: 52 Posted: 12 Jun 2019
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 20 (649,981)

Abstract:

Loading...

Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

38.

Distressed firms, zombie firms and zombie lending: a taxonomy

Number of pages: 38 Posted: 18 Nov 2021
Banco de Españaaffiliation not provided to SSRN, Banco de España and Banco de España
Downloads 14 (694,176)

Abstract:

Loading...

Taxonomy of firms, distressed firms, zombie firms, credit supply, loan evergreening, real effects

39.

Developments in the collective investment industry in Spain between 2008 and 2019

Banco de Espana Article 32/20
Number of pages: 11 Posted: 21 Oct 2020
Sergio Mayordomo and Laura Álvarez Román
Banco de España and Banco de Españaaffiliation not provided to SSRN
Downloads 7 (749,391)

Abstract:

Loading...

collective investment undertakings, market structure, interconnection with the banking system, portfolio composition.

40.

The Impact of the 2011 Short‐Sale Ban on Financial Stability: Evidence from the Spanish Stock Market

European Financial Management, Vol. 22, Issue 5, pp. 1001-1022, 2016
Number of pages: 22 Posted: 22 Nov 2016
Oscar Arce and Sergio Mayordomo
Banco de España and Banco de España
Downloads 0 (819,021)
Citation 2
  • Add to Cart

Abstract:

Loading...

short‐sales constraints, financial stability, financial institutions, credit default swap, contagion