Professor Mario Cerrato

  • Professor of Finance (Accounting & Finance)

telephone: 01413305059
email: Mario.Cerrato@glasgow.ac.uk

Biography

Mario joined Economics at the University of Glasgow as a Lecturer in Economics in March 2008. He previously held posts at London Metropolitan University, Banca del Salento and Expedia Capital Management Ltd. He holds a PhD in Financial Econometrics (2003) and an MSc in Economics from London Metropolitan University, and a first degree in Economics from the University of Salerno.


Research interests

Mario is a member of the Finance research cluster.

Areas of expertise:

  • Derivatives
  • Asset pricing
  • Banking
  • Forex microstructures
  • Securitization

 


Grants

  • Consal Team s.r.l, Salerno, Italy (2014) (company valuation), Award €1,500 
  • Scottish Enterprise and Structured Credit Investor/Cold Fountain Media (2010) - (liquidity risk), Award £5,000 
  • UBS Investment Bank, London (2010) (risk management), Award £10,000 
  • Scottish Government with the Chinese Ministry of Education (2009) - (risk management), £153,336,Grant Number 63024
  • John Robertson Bequest (2009) - (option pricing), Award £1,500
  • University of Evry, France (2007), Award €3000 
  • University of Evry, France, (2006), Award €3,000 
  • Regional Convergence and Divergence in Euroland: the Role of the Financial Sector (2003-05), (The Italian Ministry for Higher Education), Award €3,500

Supervision

Current PhD students

  • Jintong Cai
  • Zhekai Zhang

Completed supervisions

Alexandra Toader
Thesis title: Exchange Rate Forecasting

Giorgia Galeazzi
Thesis title: Essay in FX Market Microstructure

Hai Zhang
Thesis title: Hedge Fund Seeding Innovation and Management

John Olukuru
Thesis title: Risk Management and Optimal Security Design under Asymmetric Information 

Mariolia Kozubovska
Thesis title: The Impact of Securitization on US Bank Holding Companies Performance before and after the Crisis

Muhammad Kaleem
Thesis title: Economic Significance of Empirical Exchange Rate Models: an Investigation of the Empirical Exchange Rate Models Conditional on Economic Variables

Pittaya Klongkratoke
Thesis title:  Econometric models in financial economics

Sudip Patra
Thesis title: Dividend smoothing and risk shifting by banks under information asymmetry

Xiaolin Chang
Thesis title: Fiscal policy and business cycles

Xuan Zhang
Thesis title: Credit risk modelling

Youngmin Ha
Thesis title: Machine learning in quantitative finance

Hyunsok Kim (2011)
Thesis title: Exchange Rates and Non-Linear Models

Ke Fei You (2008)
Thesis on: Exchange Rates in Emerging Markets (completed-full time job as a Lecturer in Finance at the LondonMet Business School)


Teaching

Postgraduate:

  • Financial Markets Microstructures
  • Derivatives
  • Banking

Additional information

CV: Mario Cerrato‌ (pdf)

Forthcoming papers

  • “Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies”, by Bakshi, G., M., Cerrato and J., Crosby”, (forthcoming, The Review of Financial Studies).

Working papers

Working papers and revise and submit:

  • “Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies”, by Bakshi, G., M., Cerrato and J., Crosby”, (R/R, The Review of Financial Studies).
  • “No Good Deal-No Bad Models”, by Boyarchecko, N., Cerrato, M., J., Crosby and S., Hodges, Federal Reserve Bank of New York, Staff Report (under review Journal of Economics, Dynamic and Control).
  • Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula" by Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao, University of Glasgow Business School, Adam Smith Business School, working paper series.
  • Cerrato, M., ,C., de Perretti, R., Larsson, N., Sarantis, “A Non-Linear Panel Unit Root Test Under Cross Section Dependence”, University of Glasgow Business School, working papers (R/R Oxford Bulletin of Economics & Statistics)

Publications

List by: Type | Date

Jump to: 2018 | 2017 | 2015 | 2013 | 2011 | 2010 | 2009 | 2008 | 2005 | 2003
Number of items: 19.

2018

Bakshi, G., Cerrato, M. and Crosby, J. (2018) Implications of incomplete markets for international economies. Review of Financial Studies, 31(10), pp. 4017-4062. (doi:10.1093/rfs/hhx120)

2017

Caporale, G. M., Cerrato, M. and Zhang, X. (2017) Analysing the determinants of insolvency risk for general insurance firms in the UK. Journal of Banking and Finance, 84, pp. 107-122. (doi:10.1016/j.jbankfin.2017.07.011)

Cerrato, M., Crosby, J., Kim, M. and Zhao, Y. (2017) The joint credit risk of UK global-systemically important banks. Journal of Futures Markets, 37(10), pp. 964-988. (doi:10.1002/fut.21855)

Cerrato, M., Crosby, J., Kim, M. and Zhao, Y. (2017) Relation between higher order comoments and dependence structure of equity portfolio. Journal of Empirical Finance, 40, pp. 101-120. (doi:10.1016/j.jempfin.2016.11.007)

2015

Cerrato, M., Kim, H. and MacDonald, R. (2015) Microstructure order flow: statistical and economic evaluation of nonlinear forecasts. Journal of International Financial Markets, Institutions and Money, 39, pp. 40-52. (doi:10.1016/j.intfin.2015.05.010)

Cerrato, M., Kalyoncu, H., Hassan Naqvi, N. and Tsoukis, C. (2015) Current accounts in the long run and the intertemporal approach: a panel data investigation. World Economy, 38(2), pp. 340-359. (doi:10.1111/twec.12152)

2013

Cerrato, M., Kim, H. and MacDonald, R. (2013) Equilibrium exchange rate determination and multiple structural changes. Journal of Empirical Finance, 22, pp. 52-66. (doi:10.1016/j.jempfin.2013.03.001)

Cerrato, M., Kim, H. and MacDonald, R. (2013) Nominal interest rates and stationarity. Review of Quantitative Finance and Accounting, 40(4), pp. 741-745. (doi:10.1007/s11156-012-0296-x)

Kadow, A., Cerrato, M., MacDonald, R. and Straetmans, S. (2013) Does the euro dominate Central and Eastern European money markets? Journal of International Money and Finance, 32, pp. 700-718. (doi:10.1016/j.jimonfin.2012.06.004)

Cerrato, M., De Peretti, C. and Stewart, C. (2013) Is the consumption-income ratio stationary? Evidence from linear and non-linear panel unit root tests for OECD and non-OECD countries. Manchester School, 81(1), pp. 102-120. (doi:10.1111/j.1467-9957.2011.02272.x)

2011

Cerrato, M., Sarantis, N. and Saunders, A. (2011) An investigation of customer order flow in the foreign exchange market. Journal of Banking and Finance, 35(8), pp. 1892-1906. (doi:10.1016/j.jbankfin.2010.12.003)

2010

Cerrato, M., Kim, H. and MacDonald, R. (2010) Three-regime asymmetric STAR modeling and exchange rate reversion. Journal of Money, Credit and Banking, 42(7), pp. 1447-1467. (doi:10.1111/j.1538-4616.2010.00349.x)

Caporale, G.M. and Cerrato, M. (2010) Using Chebyshev polynomials to approximate partial differential equations. Computational Economics, 35(3), pp. 235-244. (doi:10.1007/s10614-009-9172-8)

2009

de Peretti, C., Siani, C. and Cerrato, M. (2009) An artificial neural network based heterogeneous panel unit root test in case of cross sectional independence. In: 2009 International Joint Conference on Neural Networks. IEEE, pp. 2487-2493. ISBN 9781424435487 (doi:10.1109/IJCNN.2009.5178885)

2008

Caporale, G.M. and Cerrato, M. (2008) Black market and official exchange rates: long-run equilibrium and short-run dynamics. Review of International Economics, 16(3), pp. 401-412. (doi:10.1111/j.1467-9396.2007.00709.x)

Cerrato, M., Kellard, N. and Sarantis, N. (2008) The purchasing power parity persistence paradigm: evidence from black currency market. Manchester School, 76(4), pp. 405-423.

Cerrato, M. and Sarantis, N. (2008) Symmetry, proportionality and the purchasing power parity: evidence from panel cointegration tests. International Review of Economics and Finance, 17(1), pp. 56-65. (doi:10.1016/j.iref.2006.03.001)

2005

Cerrato, M. and Spagnolo, G. (2005) No Euro please, we're British! In: Barber, S. (ed.) The City in Europe and the World. European Research Forum at London Metropolitan University: London, UK. ISBN 9780954744816

2003

Cerrato, M. and Sarantis, N. (2003) Structural break and unit roots in black market real exchange. In: Lardic, S. and Mignon, V. (eds.) Recent Developments on Exchange Rates. Series: Applied Econometrics Association series. Palgrave Macmillan: Basingstoke, UK. ISBN 9781403934871

This list was generated on Thu May 23 19:08:07 2019 BST.
Number of items: 19.

Articles

Bakshi, G., Cerrato, M. and Crosby, J. (2018) Implications of incomplete markets for international economies. Review of Financial Studies, 31(10), pp. 4017-4062. (doi:10.1093/rfs/hhx120)

Caporale, G. M., Cerrato, M. and Zhang, X. (2017) Analysing the determinants of insolvency risk for general insurance firms in the UK. Journal of Banking and Finance, 84, pp. 107-122. (doi:10.1016/j.jbankfin.2017.07.011)

Cerrato, M., Crosby, J., Kim, M. and Zhao, Y. (2017) The joint credit risk of UK global-systemically important banks. Journal of Futures Markets, 37(10), pp. 964-988. (doi:10.1002/fut.21855)

Cerrato, M., Crosby, J., Kim, M. and Zhao, Y. (2017) Relation between higher order comoments and dependence structure of equity portfolio. Journal of Empirical Finance, 40, pp. 101-120. (doi:10.1016/j.jempfin.2016.11.007)

Cerrato, M., Kim, H. and MacDonald, R. (2015) Microstructure order flow: statistical and economic evaluation of nonlinear forecasts. Journal of International Financial Markets, Institutions and Money, 39, pp. 40-52. (doi:10.1016/j.intfin.2015.05.010)

Cerrato, M., Kalyoncu, H., Hassan Naqvi, N. and Tsoukis, C. (2015) Current accounts in the long run and the intertemporal approach: a panel data investigation. World Economy, 38(2), pp. 340-359. (doi:10.1111/twec.12152)

Cerrato, M., Kim, H. and MacDonald, R. (2013) Equilibrium exchange rate determination and multiple structural changes. Journal of Empirical Finance, 22, pp. 52-66. (doi:10.1016/j.jempfin.2013.03.001)

Cerrato, M., Kim, H. and MacDonald, R. (2013) Nominal interest rates and stationarity. Review of Quantitative Finance and Accounting, 40(4), pp. 741-745. (doi:10.1007/s11156-012-0296-x)

Kadow, A., Cerrato, M., MacDonald, R. and Straetmans, S. (2013) Does the euro dominate Central and Eastern European money markets? Journal of International Money and Finance, 32, pp. 700-718. (doi:10.1016/j.jimonfin.2012.06.004)

Cerrato, M., De Peretti, C. and Stewart, C. (2013) Is the consumption-income ratio stationary? Evidence from linear and non-linear panel unit root tests for OECD and non-OECD countries. Manchester School, 81(1), pp. 102-120. (doi:10.1111/j.1467-9957.2011.02272.x)

Cerrato, M., Sarantis, N. and Saunders, A. (2011) An investigation of customer order flow in the foreign exchange market. Journal of Banking and Finance, 35(8), pp. 1892-1906. (doi:10.1016/j.jbankfin.2010.12.003)

Cerrato, M., Kim, H. and MacDonald, R. (2010) Three-regime asymmetric STAR modeling and exchange rate reversion. Journal of Money, Credit and Banking, 42(7), pp. 1447-1467. (doi:10.1111/j.1538-4616.2010.00349.x)

Caporale, G.M. and Cerrato, M. (2010) Using Chebyshev polynomials to approximate partial differential equations. Computational Economics, 35(3), pp. 235-244. (doi:10.1007/s10614-009-9172-8)

Caporale, G.M. and Cerrato, M. (2008) Black market and official exchange rates: long-run equilibrium and short-run dynamics. Review of International Economics, 16(3), pp. 401-412. (doi:10.1111/j.1467-9396.2007.00709.x)

Cerrato, M., Kellard, N. and Sarantis, N. (2008) The purchasing power parity persistence paradigm: evidence from black currency market. Manchester School, 76(4), pp. 405-423.

Cerrato, M. and Sarantis, N. (2008) Symmetry, proportionality and the purchasing power parity: evidence from panel cointegration tests. International Review of Economics and Finance, 17(1), pp. 56-65. (doi:10.1016/j.iref.2006.03.001)

Book Sections

de Peretti, C., Siani, C. and Cerrato, M. (2009) An artificial neural network based heterogeneous panel unit root test in case of cross sectional independence. In: 2009 International Joint Conference on Neural Networks. IEEE, pp. 2487-2493. ISBN 9781424435487 (doi:10.1109/IJCNN.2009.5178885)

Cerrato, M. and Spagnolo, G. (2005) No Euro please, we're British! In: Barber, S. (ed.) The City in Europe and the World. European Research Forum at London Metropolitan University: London, UK. ISBN 9780954744816

Cerrato, M. and Sarantis, N. (2003) Structural break and unit roots in black market real exchange. In: Lardic, S. and Mignon, V. (eds.) Recent Developments on Exchange Rates. Series: Applied Econometrics Association series. Palgrave Macmillan: Basingstoke, UK. ISBN 9781403934871

This list was generated on Thu May 23 19:08:07 2019 BST.