Juan Ignacio Peña

Universidad Carlos III de Madrid - Department of Business Administration

Calle Madrid 126

Getafe, Madrid, Madrid 28903

Spain

SCHOLARLY PAPERS

40

DOWNLOADS
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Top 4,313

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9,203

CITATIONS
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Top 7,793

in Total Papers Citations

109

Scholarly Papers (40)

1.

Modeling Electricity Prices: International Evidence

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 06 Feb 2002
Álvaro Escribano, Juan Ignacio Peña and Pablo Villaplana
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,785 (8,662)
Citation 52

Abstract:

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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, Universidad Carlos III de Madrid - Department of Business Administration and FGV/EPPG
Downloads 921 (24,197)
Citation 1

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Behavior, Portfolio Optimization, Resampling

3.
Downloads 814 ( 28,817)
Citation 19

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 and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 774 (30,390)
Citation 1

Abstract:

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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: 02 May 2016
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 32 (466,502)

Abstract:

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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 and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 8 (616,610)
Citation 20

Abstract:

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Credit Default Swap prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

European Financial Management, Vol. 20, Issue 4, pp. 677-713, 2014
Number of pages: 37 Posted: 16 Sep 2014
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
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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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 600 (43,559)
Citation 3

Abstract:

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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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 558 (47,889)
Citation 4

Abstract:

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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, Universidad Carlos III de Madrid - Department of Business Administration and FGV/EPPG
Downloads 430 (66,234)
Citation 1

Abstract:

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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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 392 (73,961)
Citation 2

Abstract:

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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
Universidad Carlos III de Madrid, University of Castilla-La Mancha and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 342 (86,642)

Abstract:

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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, Universidad Carlos III de Madrid - Department of Business Administration and FGV/EPPG
Downloads 321 (92,950)
Citation 1

Abstract:

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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, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 316 (94,568)
Citation 4

Abstract:

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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
Universidad Carlos III de Madrid, University of Castilla-La Mancha and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 314 (95,243)

Abstract:

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

12.

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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 206 (146,625)
Citation 3

Abstract:

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Credit Spreads, Market Dynamic Dependence, DCC-GARCH

13.

The Design of Refinancing Contracts

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 43 Posted: 10 Feb 2002
Santiago Forte Arcos and Juan Ignacio Peña
affiliation not provided to SSRN and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 197 (152,881)

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

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 and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 169 (175,683)
Citation 1

Abstract:

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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 and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 5 (638,070)

Abstract:

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Euro government bonds; Credit quality; Liquidity; Macro factors

15.

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 Universidad Carlos III de Madrid - Department of Business Administration
Downloads 173 (172,008)

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

16.

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, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 170 (174,691)
Citation 1

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

17.

Professional Portfolio Managers - a Setting for Momentum Strategies

Number of pages: 19 Posted: 07 Feb 2007 Last Revised: 30 Jul 2008
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration, FGV/EPPG and Banco Central do Brasil
Downloads 170 (174,691)
Citation 1

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Momentum, Agency Theory, Prospect Theory

18.

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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 164 (180,130)
Citation 2

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

19.

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, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 146 (198,526)

Abstract:

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

20.

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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 126 (223,201)
Citation 1

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

21.

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 Sun Yat-sen University - Department of Finance, Department of Quantitative Finance, National Tsing Hua University and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 122 (228,737)
Citation 1

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

On the Economic Link between Asset Prices and Real Activity

Number of pages: 33 Posted: 31 Jul 2010
Juan Ignacio Peña and Rosa Rodríguez
Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 104 (257,995)

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Stock market, Interest rates, Economic growth

On the Economic Link Between Asset Prices and Real Activity

Journal of Business Finance & Accounting, Vol. 34, Nos. 5-6, pp. 889-916, June/July 2007
Number of pages: 28 Posted: 11 Jul 2007
Juan Ignacio Peña and Rosa Rodríguez
Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 13 (582,174)
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23.

Debt Refinancing and Credit Risk

Spanish Review of Financial Economics, Vol. 9, Issue 1, pp. 1-10
Number of pages: 38 Posted: 10 Oct 2010 Last Revised: 19 Jan 2012
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 116 (237,468)

Abstract:

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Refinancing Contract, Credit Rating, Credit Spreads

24.
Downloads 103 (258,189)
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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 52 (385,505)
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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 51 (388,955)
Citation 1

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

25.

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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 97 (268,682)

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Bankruptcy Prediction, Industry Effects, Market and Accounting Variables

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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 57 (368,856)

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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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 39 (434,856)

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

27.

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, Universidad Carlos III de Madrid - Department of Business Administration and National Sun Yat-sen University - Department of Finance
Downloads 77 (310,084)

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

28.

Expropriation Risk, Investment Decisions and Economic Sectors

Number of pages: 32 Posted: 28 Aug 2014
Escuela de Economía y Finanzas - Universidad Eafit, University of Manchester - Division of Accounting and Finance, Universidad Carlos III de Madrid - Department of Business Administration and European Central Bank (ECB)
Downloads 47 (396,103)

Abstract:

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

29.

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 and Juan Ignacio Peña
Escuela de Economía y Finanzas - Universidad Eafit and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 43 (410,477)

Abstract:

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Expropriation risk, Nationalization, Event study, Stock Market

30.

Credit Cycles, Securitization, and Credit Default Swaps

Number of pages: 33 Posted: 09 Jan 2019
Juan Ignacio Peña
Universidad Carlos III de Madrid - Department of Business Administration
Downloads 27 (479,385)

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

31.

Towards a Common European Monetary Union Risk Free Rate

NBER Working Paper No. w15353
Number of pages: 61 Posted: 21 Sep 2009 Last Revised: 16 Oct 2009
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Universidad Carlos III de Madrid, Universidad Carlos III de Madrid - Department of Business Administration and Simon Fraser University (SFU)
Downloads 27 (479,385)

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32.

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
Universidad Carlos III de Madrid - Department of Business Administration, Universidad Carlos III de Madrid and Banco de España
Downloads 4 (617,492)
Citation 12

Abstract:

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Price Discovery, VECM, Credit Derivatives, Credit Spreads

33.

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, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid
Downloads 4 (617,492)

Abstract:

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Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling

34.

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, Universidad Carlos III de Madrid - Department of Business Administration and Banco de España
Downloads 4 (617,492)
Citation 2

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

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, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

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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, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

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

36.

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

Journal of Banking and Finance, Vol. 33, pp. 2013-2025, November 2009
Posted: 16 May 2005 Last Revised: 19 Jan 2012
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Universidad Carlos III de Madrid - Department of Business Administration

Abstract:

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Credit spreads, Structural credit risk models, Price discovery

37.

Smiles, Bid-Ask Spread and Option Pricing

European Financial Management
Posted: 22 Aug 2000
Juan Ignacio Peña, Gonzalo Rubio and Gregorio Serna
Universidad Carlos III de Madrid - Department of Business Administration, Universidad del País Vasco (UPV/EHU) - Department of Foundations of Economic Analysis I and Universidad Carlos III de Madrid - Department of Business Administration

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

38.

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
Universidad Carlos III de Madrid - Department of Business Administration, Banco de España and Universidad Europea de Madrid - Departamento de Matematica

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39.

Empirical Evidence on the Impact of European Insider Trading Regulations

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

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40.

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 Universidad Carlos III de Madrid - Department of Business Administration

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