3 papers
q-fin.PM2022
Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain
Sergio Mayordomo, María Rodriguez-Moreno, Juan Ignacio Peña
This paper studies the investment decision of the Spanish households using a unique data set, the Spanish Survey of Household Finance (EFF). We propose a theoretical model in which…
q-fin.RM2022
Are all Credit Default Swap Databases equal?
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz
We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5-year CDS in the iTraxx and CDX…
q-fin.RM2022
Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
Sergio Mayordomo, Maria Rodriguez-Moreno, Juan Ignacio Peña
Foreign exchange and credit derivatives increase the bank's contributions to systemic risk. Interest rate derivatives decrease it. The proportion of non-performing loans over total…