JUAN IGNACIO PEÑA
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email:
ypenya@eco.uc3m.es
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address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.22
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phone / fax:
(34) 91 624 96 25 / (34) 91 624 96 07
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BUSINESS UC3M
@UC3M_BUSINESS

JUAN IGNACIO PEÑA

Professor of Finance

Education

Juan Ignacio Peña is MA in Economics (Universidad Autonoma de Madrid), MS in Quantitative Methods (EOI) and Ph.D. in Economics (Universidad Autonoma de Madrid) and is professor of Finance at Business-UC3M since 1997. He has hold research and teaching positions at Universidad Autonoma de Madrid, University of Chicago, Universidad Carlos III de Madrid, China-Europe International Business School (CEIBS) and IESE Business School.

Research interests

Professor Peña current research interests are centred on energy finance and  financial risk management issues, applied to different industries and in particular to the measurement and managing of market and credit risk, (ii) the specific risk management problems faced by the energy industry (electricity, oil, gas) and (iii) the impact of crises in the financial sector on the performance of real-economy firms.

Selected publications

 
  1. Peña, J.I. and R.
    Rodriguez, 2018. Default supply auctions in electricity markets: Challenges and
    proposals. Energy  Policy, 122, 142-151.
  2. Blanco, I., J.I.
    Peña and R. Rodriguez, 2018. Modelling Electricity Swaps with Stochastic
    Forward Premium Models. The Energy Journal, 39,2, 1-33.
  3. Chiu, W.-C., Wang,
    C.-W., and Peña, J. I., 2017. Effect of Rollover Risk on Default Risk:
    Evidence from Bank Financing. International Review of Financial Analysis,
    54, 130-143.
  4. Peña, Juan Ignacio
    and Rosa Rodriguez, 2016. Time-Zero Efficiency of European Power Derivatives
    Markets. Energy Policy, 95, 253-268.
  5. González-Pedraz,
    Carlos, Moreno, Manuel and Peña, Juan Ignacio, 2015. Portfolio
    Selection with Commodities Under Conditional Asymmetric Dependence and
    Skew Preferences. Quantitative Finance, 15, 1, 151-170.
  6. Wang, Chih-Wei, Chiu, Wan-Chien and Peña, Juan Ignacio, 2015. Industry
    Characteristics and Financial Risk Contagion. Journal of Banking and
    Finance , 50, 411–427.
  7. González-Pedraz,Carlos, Moreno, Manuel
    and Peña, Juan Ignacio, 2014. Tail Risk in Energy portfolios. Energy
    Economics, 46, 422-434.
Juan Ignacio Peña holds a MS degree in Quantitative Methods from Escuela de Organización Industrial and a Ph.D. in Economics from Universidad Autónoma de Madrid. He has hold research and teaching positions at Universidad Autónoma de Madrid, University of Chicago, Universidad Carlos III de Madrid, IESE Business School and China-Europe International Business School (CEIBS).

He has published two books and more than sixty research papers in journals like Energy Economics, Energy Policy, The Energy Journal, Journal of Banking and Finance, Journal of International Money and Finance, Oxford Bulletin of Economics and Statistics, Journal of Empirical Finance, Quantitative Finance, Journal of Business Finance and Accounting, European Journal of Finance and European Financial Management, among others. He was Co-Director of the Moneda y Crédito journal and is Associate Editor in the European Journal of Finance and the Revista de Economia Financiera.
He has done consulting work for major energy firms, central banks, and financial services firms. He has been director of Ph.D. studies, Department Chair and served in many scientific and evaluation committes. 
Ignacio’s current research interests are the measurement and management of financial risk, financial derivatives , energy finance, and asset allocation strategies.
Peña, J.I. and R. Rodriguez (2018) Default supply
auctions in electricity markets: Challenges and proposals. Energy
Policy,
122, 142-151. Blanco, I., J.I.
Peña and R. Rodriguez (2018) “Modelling Electricity Swaps with
Stochastic
Forward Premium Models”. The Energy Journal, 39,2, 1-33.Chiu, W.-C.,
Wang,
C. W., and Peña, J.I. (2017) “Does the source of debt financing affect
default
risk?. Review of Financial Economics,
dx.doi.org/10.1016/j.rfe.2017.03.006.Chiu, W.-C., Wang,
C.-W., and Peña, J. I. (2017) “Effect of Rollover Risk on Default Risk:
Evidence from Bank Financing”. International Review of Financial
Analysis,
54, 130-143.Chiu, Wan-Chien,
Wang, Chih-Wei, and Peña, Juan Ignacio, (2016) “Tail Risk Spillovers and
Corporate Cash Holdings”. Journal of Multinational Financial
Management , 36, 30-48. Peña, Juan Ignacio
and Rosa Rodriguez (2016) “Time-Zero Efficiency of European Power
Derivatives
Markets”. Energy Policy, 95, 253-268.Peña, Juan Ignacio (2016)
Regulación Bancaria y Crecimiento Económico (artículo invitado).
Economistas,
146-147, 131-139.Diana Constanza
Restrepo Ochoa Ricardo Correia; Javier Población; Juan Ignacio Peña 
(2015) “Expropriation risk, Investment
Decisions and Economic Sectors”  Economic
Modelling. 48 ,326–342.Wang, Chih-Wei, Chiu, Wan-Chien and Peña, Juan
Ignacio, (2015) “Industry Characteristics and Financial Risk Contagion”.
Journal
of Banking and Finance , 50, 411–427. Mayordomo, Sergio,
Peña, Juan Ignacio and Eduardo S. Schwartz “Towards a common Eurozone
risk free
rate” (2015) European Journal of Finance, 21,12, 1005-1022.
González-Pedraz, Carlos, Moreno, Manuel and Peña, Juan Ignacio, (2015)
“Portfolio Selection with Commodities Under Conditional Asymmetric
Dependence and Skew Preferences”. Quantitative Finance, 15, 1, 151-170.

Wang, Chih-Wei, Chiu, Wan-Chien and Peña, Juan Ignacio, (2015) “Industry
Characteristics and Financial Risk Contagion”. Journal of Banking and
Finance , 50, 411–427.

González-Pedraz,Carlos, Moreno, Manuel and Peña, Juan Ignacio, (2014)
“Tail Risk in Energy portfolios”. Energy Economics, 46, 422-434.

Mayordomo, Sergio, Peña, Juan Ignacio and Eduardo S. Schwartz, (2014)
“Towards a common Eurozone risk free rate”. European Journal of Finance,
doi:10.1080/1351847X.2014.912670.

Rodriguez Moreno, Maria, Mayordomo, Sergio and Peña, Juan Ignacio,
(2014) “Derivatives Holdings and Systemic Risk in the U.S. Banking
Sector”. Journal of Banking and Finance, 45, 84-104.

Mayordomo, Sergio, Peña, Juan Ignacio and Romo, Juan, (2014) “Testing
for Statistical Arbitrage in Credit Derivatives Markets”. Journal of
Empirical Finance, 26, 59-75.

Mayordomo, Sergio, and Peña, Juan Ignacio (2014) “An empirical analysis
of the dynamic dependences in the European corporate credit markets:
bonds versus credit derivatives”. Applied Financial Economics, 24:9,
605-619.

Chiu, Wan-Chien, Peña, Juan Ignacio and Wang, Chih-Wei,(2014) “Measuring
Systemic Risk: Common Factor Exposures and Tail Dependence Effects”.
European Financial Management. doi: 10.1111/EUFM.12040.

Mayordomo, Sergio and Peña, Juan Ignacio and Rodriguez Moreno, Maria,
(2014) “Liquidity Commonalities in the Corporate CDS Market around the
2007-2012 Financial Crisis”. International Review of Economics and
Finance. 31, 171–92.

Mayordomo, Sergio, Peña, Juan Ignacio and Schwartz, Eduardo S. (2014)
“Are all Credit Default Swap Databases Equal?”. European Financial
Management, 20(4):677–713.

Mayordomo, Sergio, Rodriguez-Moreno, Maria and Peña, Juan Ignacio,
(2014) “Portfolio Choice with Indivisible and Illiquid Housing Assets:
The Case of Spain“. Quantitative Finance, 14(11), 2045-2064.

Chiu, Wan-Chien, Peña, Juan Ignacio and Wang, Chih-Wei, (2013) “Do
Structural Constraints of the Industry Matter for Corporate Failure
Prediction?". Investment Analysts Journal, Vol 78, Issue 1, pp 65-81.

Arce, Oscar, Mayordomo, Sergio, Peña, Juan Ignacio (2013), “Credit-Risk
Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro
Area Crisis”. Journal of International Money and Finance, 35, 124–145.

Rodríguez-Moreno, Maria, Peña, Juan Ignacio (2013) “Systemic risk
measures: The simpler the better?”. Journal of Banking and Finance, 37,
1817–1831.

Peña, Juan Ignacio (2012) “ A Note on Panel Hourly Electricity Prices”.
The Journal of Energy Markets, 5(4), 81-97.

Escribano, Álvaro, Peña, Juan Ignacio and Villaplana , Pablo, (2011)
"Modeling Electricity Prices: International Evidence". Oxford Bulletin
of Economics and Statistics, 73,5, 622- 650.

Mayordomo,Sergio, Peña, Juan Ignacio and Juan Romo (2011) “The Effect of
Liquidity on the Price Discovery Process in Credit Derivatives Markets
in Times of Financial Distress”. The European Journal of Finance, 17,
9–10, 851–881.

Forte Arcos, Santiago and Peña, Juan Ignacio, (2011) "Debt Refinancing
And Credit Risk". The Spanish Review of Financial Economics, 9,1-10.

Fernandes, Jose L.B., Peña, Juan Ignacio and Tabak , Benjamin M., (2010)
"Behavior Finance and Estimation Risk in Portfolio Optimization".
Applied Financial Economics , 20, 719–738.

Fernandes, Jose Luiz, Peña, Juan Ignacio and Tabak, Benjamin M., (2010)
"Delegated Portfolio Management and Risk Taking Behavior". The European
Journal of Finance , 16, 4, 353 – 372.

Forte, Santiago, and Peña, Juan Ignacio (2009) “Credit Spreads: an
Empirical Analysis on the Informational Content of Stocks, Bonds, and
CDS”. Journal of Banking and Finance, 33, 2013–2025.

Fernándes, Jose Luiz, Hasman, Augusto and Peña, Juan Ignacio. (2007)
“Risk Premium: Insights over the Threshold”. Applied Financial Economics
, 18, 1, 41-59.

Peña, Juan Ignacio and Rosa Rodriguez (2006) “On the Economic Link
Between Asset Prices and Real Activity”. Journal of Business Finance and
Accounting, 34, 889-916.

Rodriguez, Rosa, Fernando Restoy and Juan Ignacio Peña (2002) “Can
output explain the predictability and volatility of stock returns?”.
Journal of International Money and Finance , 21, 163-182.

Estrada, Javier and Juan Ignacio Peña (2002) “Empirical Evidence on the
Impact of European Insider Trading Regulations” . Studies in Economics
and Finance Vol. 20, No. 1, 12-34.

Peña, Juan Ignacio, Gregorio Serna y Gonzalo Rubio (2001) “Smiles,
Bid-Ask Spreads and Option pricing”, European Financial Management, Vol
7, No. 3, 351-374.

Peña, Juan Ignacio, Gregorio Serna and Gonzalo Rubio (1999) “Why do we
smile?. On the determinants of the implied volatility function”. Journal
of Banking and Finance, 23, 1151-1179.

Peña, Juan Ignacio, Dolores Robles y Carlos Ocaña (1997) "Preliminary
Evidence on Takeover Target Returns in Spain: A Note". Journal of
Business Finance and Accounting, 24, 145-153.

Peña, Juan Ignacio and Esther Ruiz (1995) "Stock Market Regulations and
International Financial Integration: The Case of Spain". The European
Journal of Finance,1, 367-382 .

Peña, Juan Ignacio (1995) "Daily Seasonalities and Stock Market Reforms
in Spain". Applied Financial Economics, 5, 419-423.

Peña, Juan Ignacio (1995) "A comment on Simon Keane's Reappraisal of
Share Price Maximisation". The European Journal of Finance, 1, 18-20.