JUAN IGNACIO PEÑA
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ypenya@eco.uc3m.es
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BUSINESS UC3M
@UC3M_BUSINESS

JUAN IGNACIO PEÑA

Catedrático de Economía Financiera

Educación

Juan Ignacio es licenciado en Economía por la Universidad Autónoma de Madrid, Master MS en Métodos Cuantitativos por la Escuela de Organización Industrial y Doctor en Economía por la Universidad Autónoma de Madrid. Es Catedrático de Economía Financiera en la UC3M desde 1997. Ha ocupado puestos docentes e investigadores en la Universidad Autónoma de Madrid, University of Chicago, Universidad Carlos III de Madrid, China-Europa International Business School (CEIBS) y en el IESE Business School.

Intereses de investigación

Los intereses de investigadores del Prof. Peña se centran en finanzas para la transición energética y la gestión de riesgos financieros con especial énfasis en (i) la financiación del la transición energética (ii) riesgos de crédito y de mercado, (iii) problemas de gestión de riesgo en la industria energética (electricidad, gas, petróleo).

Publicaciones seleccionadas

  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 tiene un Master en métodos cuantitativos por la EOI (Escuela de Organización Industrial) y un Doctorado en Economía por la Universidad Autónoma de Madrid. Ha desempeñado trabajos de investigación y docencia en la Universidad Autónoma de Madrid, la Universidad de Chicago, la Universidad Carlos III de Madrid, la escuela de negocios IESE y la escuela internacional de negocios China-Europe (CEIBS). Ha publicado dos libros y más de 60 trabajos de investigación en revistas como 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, entre otros. Fue co-director de la revista Moneda y Crédito y es editor asociado en la European Journal of Finance y en la Revista de Economia Financiera. Ha realizado trabajos de consultoría para importantes firmas de energía, bancos centrales y empresas de servicios financieros. Ha sido director de estudios de doctorado, Director del Departamento y ha servido en muchos comités científicos y de evaluación.  Los intereses actuales de Ignacio son las finanzas para la transición energética, la medición y gestión del riesgo financiero, los derivados financieros, las finanzas energéticas y las estrategias de asignación de activos.



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.