Research Staff(alphabetical)
Disclaimer. The Curriculum Vitae in this page, and any links from this page to websites outside of the www.bde.es domain, are the sole responsibility of Sergio Mayordomo. The Banco de España is not responsible for their content.
Sergio Mayordomo
Division Head
Financial Analysis Division
Macro-financial Analysis and Monetary Policy Department
DG Economics, Statistics and Research
Contact Information
- Address: Calle Alcalá 48, 28014 Madrid, España
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Contact form
Fields of Interest
- Credit risk
- Derivatives and fixed income
- Banking
JEL Codes
G1, G2
Curriculum Vitae
(131 KB)
Selected Publications and Working Papers
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“Did the bank capital relief induced by the Supporting Factor enhance SME lending?”
Sergio Mayordomo and M. Rodríguez-Moreno (2018)
Journal of Financial Intermediation 36, pp. 45-57
JEL codes: E51, E58, G21
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“Dealing with Dealers: Sovereign CDS Comovements”
Sergio Mayordomo, M. Antón and M. Rodríguez-Moreno (2018)
Journal of Banking and Finance 90, pp. 96-112
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“When does relationship lending start to pay?”
Sergio Mayordomo, G. López-Espinosa and A. Moreno
Journal of Financial Intermediation 31, pp. 16-29
JEL codes: D82, G30, G20, G21, G24, L14, N20
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“The impact of the 2011 short-sale ban on financial stability: Evidence from the Spanish stock market”
Sergio Mayordomo and Óscar Arce (2016-11)
European Financial Management 22 (5), pp. 1001-1022
JEL codes: G01, G12, G14, G18
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“Fragmentation in the European Interbank Market: Measures, determinants, and policy solutions”
Sergio Mayordomo, M. Rodríguez-Moreno, M. Abascal and T. Alonso (2015-02)
Journal of Financial Stability 16, pp. 1-12
JEL codes: E49, F36, G01, G18, G20
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“Derivatives holdings and systemic risk in the U.S. banking sector”
Sergio Mayordomo, M. Rodríguez-Moreno and J. I. Peña (2014-08)
Journal of Banking and Finance 45, pp. 84-104
JEL codes: C32, G01, G21
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“Testing for statistical arbitrage in credit derivatives markets”
Sergio Mayordomo, J. I. Peña and J. Romo (2014-03)
Journal of Empirical Finance 26, pp. 59-75
JEL codes: C12, G12, G14
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“Portfolio choice with indivisible and illiquid housing assets: The case of Spain”
Sergio Mayordomo, M. Rodríguez-Moreno and J. I. Peña (2014)
Quantitative Finance 14 (11), pp. 2045-2064
JEL codes: C61, D14, G11
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“Are all credit default swap databases equal?”
Sergio Mayordomo, J. I. Peña and E. S. Schwartz (2014-09)
European Financial Management 20, pp. 677-713
JEL codes: F33, G12, H63
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“Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the Euro Area crisis”
Sergio Mayordomo, Óscar Arce and J. I. Peña (2013-06)
Journal of International Money and Finance 35, pp. 124-145
JEL codes: G10, G14, G15