Blanco Sánchez, Iván
Iván Blanco is Assistant Professor in Finance at CUNEF. Ivan’s current research interests include: (i) Empirical Asset Pricing & Quantitative Investments, (ii) Feedback effects between financial markets and the real economy and (iii) Big Data, Machine Learning and Financial Technology. His research output has reached top international finance and economic journals like "The Journal of Financial Economics", "The Energy Journal" or "Risks".
Prior to join CUNEF, he has worked for BBVA in the CVA/Counterparty risk group, for Banco Santander in the quantitative model validation team and as senior quantitative algorithmic trader in Arfima Trading. Ivan has also acted as independent consultant to numerous national and international firms mainly related with Financial Markets, Investments and Asset Management.
PhD in Finance, Universidad Carlos III de Madrid (2016)
M.Sc. in Finance and Quantitative Methods, Universidad Carlos III de Madrid (2013)
M.B.A, EOI Business School (2009)
B.S / M.S in Aerospace Engineering, Universidad Politécnica de Madrid (2006)
* Empirical Asset Pricing & Quantitative Investments.
* Feedback effects between financial markets and real economy.
* Big Data, Machine Learning and Financial Technology.
Assistant Professor of Finance (CUNEF), 2017-Present
Fund Investment Advisor (Noax Trading), ESFERA I / NOAX GLOBAL FI, 2018-Present
Research Fellow (UC3M – Banco Santander Big Data Institute), 2017 – Present
Postdoctoral Researcher (UC3M – Banco Santander Big Data Institute), 2016-2017
Senior quantitative algorithmic trader (Arfima Trading), 2015-2016
CVA/Counterparty risk group (BBVA), 2010-2011
Quantitative model validation team (Banco Santander) , 2009-2010
Publications in Scientific Journals
"Modelling Electricity Swaps with Stochastic Forward Premium Models" . The Energy Journal, Volume 39 (2), 2018, with Ignacio Peña and Rosa Rodriguez.
"Identifying Real Estate Opportunities using Machine Learning". Applied Sciences, 2018, 8, 2321, with Alejandro Baldominos, Antonio Moreno and Ruben Iturrarte.
"The Bright Side of Financial Derivatives: Options Trading and Firm Innovation". Journal of Financial Economics, Volume 125, Issue 1, 2017, Pages 99-119, with David Wehrheim.
"Measuring risk when expected losses are unbounded". Risks. 2014; 2(4):411-424, with Alejandro Balbás and José Garrido.
"Options Trading and the Cost of Debt" (R&R in Journal of Corporate Finance), with Sergio García.
"Overlapping Momentum Portfolios" (working paper), with Miguel de Jesús and Alvaro Remesal.
"Mandated disclosure, institutional investors and stock price informativeness: Evidence from a quasi-natural experiment" (working paper), with Sergio García and David Wehrheim.
"Institutional investors' attention and stock price informativeness: Evidence from natural disasters" (working paper), with Jose M. Martín-Flores and Alvaro Remesal.
"Giving the analysts what they want: Evidence from changes in strategic resource allocation patterns" (working paper), with Fabrizio Ferraro, Giovanni Valentini, and David Wehrheim.