Juan Ignacio Peña

Charles III University of Madrid - Department of Business Administration

Calle Madrid 126

Getafe, Madrid, Madrid 28903

Spain

  • Charles III University of Madrid - Department of Business Administration

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SCHOLARLY PAPERS

43

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117

CROSSREF CITATIONS

60

Scholarly Papers (43)

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1.

Modeling Electricity Prices: International Evidence

Number of pages: 32 Posted: 06 Feb 2002
Álvaro Escribano, Juan Ignacio Peña and Pablo Villaplana
Charles III University of Madrid - Department of Economics, Charles III University of Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,915 (15,085)
Citation 63

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electricity prices, seasonality, mean reversion, GARCH, jumps, unit root test, bootstrap

2.

Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization

Number of pages: 55 Posted: 18 Jan 2007 Last Revised: 05 May 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Charles III University of Madrid - Department of Business Administration and FGV/EPPG
Downloads 961 (41,917)
Citation 1

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Behavior, Portfolio Optimization, Resampling

3.

Are All Credit Default Swap Databases Equal?

Downloads 910 (45,205)
Citation 11

Are All Credit Default Swap Databases Equal?

Number of pages: 53 Posted: 22 Nov 2010 Last Revised: 17 Jan 2013
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz and Eduardo S. Schwartz
Banco de España, Charles III University of Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 814 (51,937)
Citation 2

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Credit Default Swap Prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

NBER Working Paper No. w16590
Number of pages: 67 Posted: 13 Dec 2010 Last Revised: 01 May 2023
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz and Eduardo S. Schwartz
Banco de España, Charles III University of Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 58 (623,874)

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Are All Credit Default Swap Databases Equal?

CNMV Working Paper No. 44 (2010)
Number of pages: 68 Posted: 12 Jun 2019
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz and Eduardo S. Schwartz
Banco de España, Charles III University of Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 38 (751,287)
Citation 7

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Credit Default Swap prices, Databases, Liquidity

4.

Systemic Risk Measures: The Simpler the Better?

Number of pages: 45 Posted: 23 Sep 2010 Last Revised: 24 Mar 2012
Maria Rodriguez-Moreno and Juan Ignacio Peña
Banco de España and Charles III University of Madrid - Department of Business Administration
Downloads 663 (69,012)
Citation 14

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Systemic Risk, CDS, Libor spreads, CoVaR

5.

Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis

Number of pages: 37 Posted: 03 Aug 2011 Last Revised: 07 Feb 2012
Oscar Arce, Sergio Mayordomo and Juan Ignacio Peña
CNMV, Banco de España and Charles III University of Madrid - Department of Business Administration
Downloads 606 (77,240)
Citation 15

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Sovereign Credit Default Swaps, Sovereign Bonds, Credit Spreads, Price Discovery

6.

Delegated Portfolio Management and Risk Taking Behavior

Number of pages: 51 Posted: 18 May 2006 Last Revised: 04 Jan 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Charles III University of Madrid - Department of Business Administration and FGV/EPPG
Downloads 454 (110,091)
Citation 1

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Agency Model, Delegated Portfolio Management, Loss Aversion

7.

Derivatives Holdings and Systemic Risk in the U.S. Banking Sector

Number of pages: 43 Posted: 18 Dec 2011 Last Revised: 15 Jun 2013
Maria Rodriguez-Moreno, Sergio Mayordomo and Juan Ignacio Peña
Banco de España, Banco de España and Charles III University of Madrid - Department of Business Administration
Downloads 453 (110,377)
Citation 10

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Systemic risk, derivatives, Shapley value

8.

Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences

Quantitative Finance (Forthcoming)
Number of pages: 41 Posted: 19 Apr 2012 Last Revised: 02 Aug 2014
Carlos G. Pedraz, Manuel Moreno and Juan Ignacio Peña
Banco de España, University of Castilla-La Mancha and Charles III University of Madrid - Department of Business Administration
Downloads 376 (136,785)

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Portfolio selection, commodity futures, conditional copulas, skew preferences

9.

How Do Prior Outcomes Affect Risk Taking Behavior? A Cross-Country Experimental Analysis

Number of pages: 34 Posted: 31 May 2006 Last Revised: 05 May 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Charles III University of Madrid - Department of Business Administration and FGV/EPPG
Downloads 371 (138,840)
Citation 1

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House Money, Myopic Loss Aversion, Behavioral Biases

10.

A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets

Number of pages: 42 Posted: 29 Mar 2011 Last Revised: 08 Mar 2013
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
Banco de España, Charles III University of Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 369 (139,693)
Citation 6

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Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

11.

Tail Risk in Energy Portfolios

Energy Economics, Forthcoming
Number of pages: 38 Posted: 15 Jan 2013 Last Revised: 02 Aug 2014
Carlos G. Pedraz, Manuel Moreno and Juan Ignacio Peña
Banco de España, University of Castilla-La Mancha and Charles III University of Madrid - Department of Business Administration
Downloads 350 (148,019)

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Asymmetric DCC, multivariate generalized hyperbolic distributions, tail risk, skewness, risk measure backtests

12.

Modeling Renewable Power Purchase Agreements Prices

Number of pages: 72 Posted: 04 Jul 2022
Juan Ignacio Peña, Rosa Rodríguez and Silvia Mayoral
Charles III University of Madrid - Department of Business Administration, Universidad Carlos III de Madrid - Department of Business Administration and affiliation not provided to SSRN
Downloads 232 (225,554)
Citation 1

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Power Purchase Agreements, renewable energy, Correlation risk, Futures prices, Value factor

13.

An Empirical Analysis of the Dynamic Dependences in the European Corporate Credit Markets: Bonds vs. Credit Derivatives

Number of pages: 38 Posted: 04 Dec 2010 Last Revised: 12 Nov 2012
Sergio Mayordomo and Juan Ignacio Peña
Banco de España and Charles III University of Madrid - Department of Business Administration
Downloads 228 (229,334)
Citation 1

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Credit Spreads, Market Dynamic Dependence, DCC-GARCH

14.

Modelling Electricity Swaps with Stochastic Forward Premium Models

The Energy Journal, Forthcoming
Number of pages: 76 Posted: 20 Dec 2016 Last Revised: 15 May 2017
Iván Blanco, Juan Ignacio Peña and Rosa Rodríguez
CUNEF University, Charles III University of Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 225 (232,129)

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Electricity swaps, Stochastic forward premium, Multivariate Normal Inverse Gaussian distribution, Lévy processes

15.

The Design of Refinancing Contracts

Number of pages: 43 Posted: 10 Feb 2002
Santiago Forte Arcos and Juan Ignacio Peña
affiliation not provided to SSRN and Charles III University of Madrid - Department of Business Administration
Downloads 219 (238,143)

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Debt refinancing, debt structure, credit spreads, debt risk, default and migration probabilities

16.

Financial Crises, Debt Financing, and Default Risk

Number of pages: 52 Posted: 14 Feb 2015 Last Revised: 19 Jul 2015
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 218 (239,155)
Citation 3

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Bank dependence; Debt financing; Default risk; Substitution effect; Supply shock

17.

Towards a Common European Monetary Union Risk Free Rate

Downloads 217 (240,193)
Citation 5

Towards a Common European Monetary Union Risk Free Rate

Number of pages: 32 Posted: 14 Mar 2010 Last Revised: 23 Feb 2012
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz and Eduardo S. Schwartz
Banco de España, Charles III University of Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 192 (268,221)
Citation 1

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Euro government bonds, Credit quality, Liquidity, Macro factors

Towards a Common European Monetary Union Risk Free Rate

CNMV Working Paper No. 51 (2011)
Number of pages: 56 Posted: 12 Jun 2019
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz and Eduardo S. Schwartz
Banco de España, Charles III University of Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 25 (859,430)
Citation 4

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Euro government bonds; Credit quality; Liquidity; Macro factors

18.

Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain

Number of pages: 39 Posted: 03 Apr 2011 Last Revised: 26 Jun 2013
Sergio Mayordomo, Maria Rodriguez-Moreno and Juan Ignacio Peña
Banco de España, Banco de España and Charles III University of Madrid - Department of Business Administration
Downloads 195 (264,864)

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Portfolio choice, Households, Indivisible illiquid assets, Financial constraints, Under-investment, Over-investment

19.

Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis

Number of pages: 49 Posted: 29 Sep 2011 Last Revised: 22 Oct 2012
Sergio Mayordomo, Juan Ignacio Peña and Maria Rodriguez-Moreno
Banco de España, Charles III University of Madrid - Department of Business Administration and Banco de España
Downloads 194 (266,108)
Citation 1

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Credit Default Swap, Liquidity Commonalities, Global Risk, Funding Liquidity Risk, Counterparty Risk

20.

Professional Portfolio Managers - a Setting for Momentum Strategies

Number of pages: 19 Posted: 07 Feb 2007 Last Revised: 30 Jul 2008
Jose L. B. Fernandes, Juan Ignacio Peña, Benjamin M. Tabak and Jose Renato Haas Ornelas
Universidade de Brasília, Charles III University of Madrid - Department of Business Administration, FGV/EPPG and Banco Central do Brasil
Downloads 189 (272,416)
Citation 1

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Momentum, Agency Theory, Prospect Theory

21.

The Effect of Rollover Risk on Default Risk: Evidence from Bank Financing

Downloads 169 (300,221)
Citation 4

The Effect of Rollover Risk on Default Risk: Evidence from Bank Financing

Number of pages: 42 Posted: 10 Feb 2015
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 102 (446,173)
Citation 1

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Rollover Risk, Default Risk, Credit Risk, Bank-Dependent Firms, Publicly Traded Debt-Dependent Firms

The Effect of Rollover Risk on Default Risk: Evidence from Bank Financing

Number of pages: 41 Posted: 15 May 2014 Last Revised: 28 Jul 2015
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 67 (578,657)
Citation 1

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Rollover Risk, Default Risk, Credit Risk, Bank Borrowing Dependence

22.

Financial Crises, Financing Sources, and Default Risks

Downloads 156 (321,315)
Citation 2

Financial Crises, Financing Sources, and Default Risks

Number of pages: 45 Posted: 23 Oct 2014
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 81 (518,240)
Citation 1

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Bank Supply Shock, Credit Supply Shock, Bank Dependence, Public-Debt Market, Distance-to-Default, Substitution Effect

Financial Crises, Financing Sources, and Default Risks

Number of pages: 40 Posted: 14 Sep 2013 Last Revised: 22 Oct 2014
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 75 (542,858)
Citation 1

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Bank Supply Shock, Credit Supply Shock, Bank Dependence, Public-Debt Market, Distance-to-Default, Substitution Effect

23.

Industry Characteristics and Financial Risk Contagion

Journal of Banking and Finance, Forthcoming
Number of pages: 48 Posted: 24 Feb 2013 Last Revised: 01 May 2014
Chih-Wei Wang, Wan-Chien Chiu and Juan Ignacio Peña
National Central University - Department of Finance, Department of Quantitative Finance, National Tsing Hua University and Charles III University of Madrid - Department of Business Administration
Downloads 156 (321,315)
Citation 2

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volatility spillover, tail risk, conditional coexceedance, debt financing, relative valuation, relative investment

24.

Debt Refinancing and Credit Risk

Spanish Review of Financial Economics, 2011, Vol. 9, 1-10.
Number of pages: 38 Posted: 10 Oct 2010 Last Revised: 14 Feb 2023
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Charles III University of Madrid - Department of Business Administration
Downloads 150 (331,895)
Citation 1

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Refinancing Contract, Credit Rating, Credit Spreads

25.

Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects

Forthcoming in European Financial Management
Number of pages: 49 Posted: 29 Apr 2013 Last Revised: 19 Jan 2014
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 148 (335,591)
Citation 2

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systemic risk, tail dependence effects, correlated jumps, common factor

26.

Do Structural Constraints of the Industry Matter for Corporate Failure Prediction?

Investment Analysts Journal, Vol. 78, pp. 65–8
Number of pages: 38 Posted: 10 Jul 2011 Last Revised: 02 Apr 2014
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 128 (375,614)

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Bankruptcy Prediction, Industry Effects, Market and Accounting Variables

27.

Credit-Valuation in the Sovereing CDS and Bonds Markets: Evidence from the Euro Area Crisis

CNMV Working Paper No. 53 (2012)
Number of pages: 44 Posted: 12 Jun 2019
Oscar Arce, Juan Ignacio Peña and Sergio Mayordomo
CNMV, Charles III University of Madrid - Department of Business Administration and Banco de España
Downloads 121 (391,837)
Citation 2

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sovereign credit default swaps, sovereign bonds, credit spreads, price discovery

28.

On the Economic Link between Asset Prices and Real Activity

Number of pages: 33 Posted: 31 Jul 2010
Juan Ignacio Peña and Rosa Rodríguez
Charles III University of Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 119 (396,670)

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Stock market, Interest rates, Economic growth

29.

Hedging Renewable Power Purchase Agreements

Number of pages: 42 Posted: 31 May 2023
Juan Ignacio Peña, Rosa Rodríguez and Silvia Mayoral
Charles III University of Madrid - Department of Business Administration, Universidad Carlos III de Madrid - Department of Business Administration and affiliation not provided to SSRN
Downloads 104 (437,148)

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Power purchase agreements, Renewable Energy, Joint price and production risks, Futures contracts

30.

A New Test of Statistical Arbitraje with Applications to Credit Derivatives Markets

CNMV Working Paper No. 47 (2011)
Number of pages: 52 Posted: 12 Jun 2019
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
Banco de España, Charles III University of Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 104 (440,151)

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Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

31.

Do Corporate Cash Holdings Decrease the Impact of Tail Risk Spillovers from the Financial Sector? Evidence from Europe

Number of pages: 54 Posted: 01 Apr 2014 Last Revised: 22 Dec 2014
Wan-Chien Chiu, Juan Ignacio Peña and Chih-Wei Wang
Department of Quantitative Finance, National Tsing Hua University, Charles III University of Madrid - Department of Business Administration and National Central University - Department of Finance
Downloads 104 (437,148)

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tail risk spillover, conditional coexceedance, cash holdings, European countries, financial constraints

32.

Credit Cycles, Securitization, and Credit Default Swaps

Number of pages: 33 Posted: 09 Jan 2019
Juan Ignacio Peña
Charles III University of Madrid - Department of Business Administration
Downloads 76 (532,133)

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Credit Default Swaps; Securitization; Bank Credit Cycles; Noise Traders; CDS Basis

33.

The Impact of Expropriations on the Stock Prices of the Parent Companies: Sell on the Rumor, Buy on the News?

Center for Research in Economics and Finance (CIEF), Working Papers, 16-19 2016
Number of pages: 24 Posted: 23 Aug 2016
Diana Constanza Restrepo Ochoa, Diana Constanza Restrepo Ochoa and Juan Ignacio Peña
Charles III University of Madrid - Department of Business AdministrationEscuela de Economía y Finanzas - Universidad Eafit and Charles III University of Madrid - Department of Business Administration
Downloads 76 (536,282)

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Expropriation risk, Nationalization, Event study, Stock Market

34.

Expropriation Risk, Investment Decisions and Economic Sectors

Number of pages: 32 Posted: 28 Aug 2014
Diana Constanza Restrepo Ochoa, Diana Constanza Restrepo Ochoa, Ricardo V.A.P. Correia, Juan Ignacio Peña and Francisco Javier Población García
Charles III University of Madrid - Department of Business AdministrationEscuela de Economía y Finanzas - Universidad Eafit, The University of Manchester - Division of Accounting and Finance, Charles III University of Madrid - Department of Business Administration and European Central Bank (ECB)
Downloads 69 (561,382)

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Expropriation risk, Expropriation Option, Investment option, Abandonment option, Costs of expropriation

35.

The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress

CNMV Working Paper No. 41 (2010)
Number of pages: 54 Posted: 12 Jun 2019
Juan Ignacio Peña, Juan Romo and Sergio Mayordomo
Charles III University of Madrid - Department of Business Administration, Universidad Carlos III de Madrid and Banco de España
Downloads 63 (588,426)
Citation 12

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Price Discovery, VECM, Credit Derivatives, Credit Spreads

36.

Modelling Prices in Solar and Wind Long-Term PPA

Number of pages: 86 Posted: 14 Dec 2022
Óscar Bernardos Yagüe and Juan Ignacio Peña
Universidad Complutense de Madrid and Charles III University of Madrid - Department of Business Administration
Downloads 57 (618,189)

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Power Purchase Agreements, Renewable Energy, Volumetric Risk, Correlation Risk, PPA Prices, Risk Management

37.

Towards a Common European Monetary Union Risk Free Rate

NBER Working Paper No. w15353
Number of pages: 61 Posted: 21 Sep 2009 Last Revised: 15 Jun 2023
Sergio Mayordomo, Juan Ignacio Peña, Eduardo S. Schwartz and Eduardo S. Schwartz
Charles III University of Madrid, Charles III University of Madrid - Department of Business Administration and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 41 (711,713)

Abstract:

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38.

Risk Premium: Insights Over the Threshold

Downloads 0 (1,054,483)

Risk Premium: Insights Over the Threshold

Universidad Carlos III De Madrid Working Paper No. 06-28
Posted: 18 May 2006
Jose L. B. Fernandes, Juan Ignacio Peña and Augusto Hasman
Universidade de Brasília, Charles III University of Madrid - Department of Business Administration and Charles III University of Madrid - Department of Business Administration

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Expected Shortfall, Tail Risk, Pareto Distribution, Value at Risk

Risk Premium: Insights over the Threshold

Applied Financial Economics, Forthcoming, Universidad Carlos III De Madrid Working Paper No. 06-28
Posted: 12 Jan 2007
Jose L. B. Fernandes, Juan Ignacio Peña and Augusto Hasman
Universidade de Brasília, Charles III University of Madrid - Department of Business Administration and Charles III University of Madrid - Department of Business Administration

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Expected Shortfall, Tail Risk, Pareto Distribution, Value at Risk

39.

Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Journal of Banking and Finance, 2009, Vol. 33, 2013-2025.
Posted: 16 May 2005 Last Revised: 13 Feb 2023
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Charles III University of Madrid - Department of Business Administration

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Credit spreads, Structural credit risk models, Price discovery

40.

Smiles, Bid-Ask Spread and Option Pricing

Posted: 22 Aug 2000
Juan Ignacio Peña, Gonzalo Rubio and Gregorio Serna
Charles III University of Madrid - Department of Business Administration, University of the Basque Country - Department of Foundations of Economic Analysis I and Charles III University of Madrid - Department of Business Administration

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Smiles, Bid-Ask Spread, Implied Volatility Function, Option Pricing

41.

Can Output Explain the Predictability and Volatility of Stock Returns?

CEPR Discussion Paper No. 1995
Posted: 28 Dec 1998
Juan Ignacio Peña, Fernando Restoy and Rosa Rodríguez
Charles III University of Madrid - Department of Business Administration, Banco de España and Universidad Europea de Madrid - Departamento de Matematica

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42.

Empirical Evidence on the Impact of European Insider Trading Regulations

Posted: 13 Jul 1998
Javier Estrada and Juan Ignacio Peña
IESE Business School and Charles III University of Madrid - Department of Business Administration

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43.

On the Term Structure of Interbank Interest Rates: Jump- Diffusion Processes and Option Pricing

Finance and Banking Discussion Paper Series 24
Posted: 06 Feb 1997
Manuel Moreno and Juan Ignacio Peña
University of Castilla-La Mancha and Charles III University of Madrid - Department of Business Administration

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