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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(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 (i) 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

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.
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 research papers in Energy Economics, 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 theMoneda y Crédito journal and is Associate Editor in the European Journal of Finance and the Revista de Economia Financiera.

Ignacio’s current research interests are the measurement and management of financial risk, financial derivatives , energy finance, and asset allocation strategies
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.