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 Automona de Madrid, University of Chicago, Universidad Carlos III de Madrid, China-Europe Internactional 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. Peña, Juan Ignacio
    and Rosa Rodriguez (2016) “Time-Zero Efficiency of European Power Derivatives
    Markets”. Energy Policy, 95, 253-268.
  4. 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.
  5. 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.
  6. 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.