Juan Ignacio Peña is an MA in Economics (Universidad Autonoma de Madrid), an MS in Quantitative Methods (EOI, School of Industrial Organization), and a Ph.D. in Economics (Universidad Autonoma de Madrid). He has been a professor of Finance at Business-UC3M since 1997. He has held 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.
Prof. Peña's research interests focus on finance for the energy transition and financial risk management with particular emphasis on (i) the financing of the energy transition, (ii) credit and market risks, (iii) problems of risk management in the energy industry, (electricity, gas, oil).
Recent publications:
Peña, J. I. (2024) "A Note on Hydropower as a Marginal Price Setter for Spain’s Electricity Market in 2021–2022". Utilities Policy, 87, 101726. https://doi.org/10.1016/j.jup.2024.101726
Peña, J.I. (2023) "The Hedging Effectiveness of Electricity Futures in the Spanish Market". Finance Research Letters, https://doi.org/10.1016/j.frl.2022.103507
Peña, J.I., R. Rodríguez and Mayoral, S. (2022) "Cannibalization, Depredation, and Market Remuneration of Power Plants". Energy Policy, 167, 113086.
Peña, J.I. and R. Rodríguez (2021). "Market Makers and Liquidity Premium in Electricity Futures Markets". The Energy Journal, 43, 75-93.
Peña, J.I., R. Rodriguez and S. Mayoral, (2020). "Tail Risk of Electricity Futures". Energy Economics, 91, 104886.
Publications with more than 200 Google Scholar citations
(523) : Escribano, Á., J. I. Peña, and P. Villaplana (2011) "Modeling Electricity Prices: International Evidence". Oxford Bulletin of Economics and Statistics, 73,5, 622- 650.
(397) Forte, S., and Peña, J.I., (2009): “Credit Spreads: an Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS”. Journal of Banking and Finance vol. 33, 2009, 2013–2025.
(329) Rodríguez-Moreno, Maria, Peña, Juan Ignacio (2013) “Systemic risk measures: The simpler the better?”. Journal of Banking and Finance, 37, 1817–1831.
(256) Peña, J.I., Serna, G. and Rubio, G., (1999) : “Why do we smile? On the determinants of the implied volatility function”. Journal of Banking and Finance vol. 23, 1999, 1151-1179.
Peña, J. I. (2024) "A Note on Hydropower as a Marginal Price Setter for Spain’s Electricity Market in 2021–2022". Utilities Policy, 87, 101726. https://doi.org/10.1016/j.jup.2024.101726
Peña, J.I. (2022) "The Hedging Effectiveness of Electricity Futures in the Spanish Market". Finance Research Letters, https://doi.org/10.1016/j.frl.2022.103507
Peña, J.I., R. Rodríguez and Mayoral, S. (2022) "Cannibalization, Depredation, and Market Remuneration of Power Plants". Energy Policy, 167, 113086.
Peña, J.I. and R. Rodríguez (2021). "Market Makers and Liquidity Premium in Electricity Futures Markets". The Energy Journal, 43, 75-93.
Peña, J.I., Rodríguez, R. y S. Mayoral. (2020) Productos Financieros para la Transición Energética. CECA. Monografía Funcas.
Peña, J.I., R. Rodriguez and S. Mayoral, (2020). Tail Risk of Electricity Futures. Energy Economics, 91, 104886.
Restrepo Ochoa, D. and Peña, J.I. (2020) The Impact of Forced Divestments on Parent Company Stock Prices: Buy on the Rumor, Sell on the News?. Research in International Business and Finance, 53, 101-175.
Peña, J.I. and R. Rodriguez, (2019). Are EU’s Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices. Energy, 183, 477-486.
Peña, J. I. (2019) Credit Cycles, Securitization, and Credit Default Swaps. arXiv:1901.00177 [econ.TH]
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.
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.
