George Pennacchi

George Pennacchi

Fred S. Bailey Memorial Chair of Finance

  • LinkedIn

Contact

4041 Business Instructional Facility

515 Gregory Drive

Champaign, IL 61820

217-244-0952

gpennacc@illinois.edu

Vita

Google Scholar

Homepage

Listings

Educational Background

  • Ph.D., Economics, Massachusetts Institute of Technology, 1984
  • B.S., Applied Mathematics-Economics, Brown University, 1977

Positions Held

  • Director, Finance Doctoral Program, University of Illinois at Urbana-Champaign, 2018 to present
  • Research Fellow, Bank of Finland, 2018 to present
  • Fred S. Bailey Memorial Chair in Finance, University of Illinois at Urbana-Champaign, 2016 to present
  • Visiting Scholar, Federal Reserve Bank of New York, 2015,2017
  • President, Financial Intermediation Research Society, 2014-2015
  • Investors in Business Education Professor of Finance, University of Illinois, 2010-2015
  • Scientific Advisor, Baffi Centre for Applied Research in Finance, Bocconi University, 2009-2018
  • Faculty Associate, Center for Business and Public Policy, University of Illinois at Urbana-Champaign, 2009 to present
  • Program Coordinator for Deposit Insurance, Center for Financial Research, Federal Deposit Insurance Corporation, 2004-2012
  • Research Associate, Federal Reserve Bank of Cleveland, 1998 to present,1995-1996
  • Professor of Finance, University of Illinois at Urbana-Champaign, 1997 to present
  • Visiting Professor, Bocconi University, 1994-1996,2009-2011,2009-2012
  • Co-Director, Office for Banking Research, University of Illinois at Urbana-Champaign, 1993-2014
  • Associate Professor of Finance, University of Illinois, 1990-1997
  • Olympus Fund Assistant Professor of Finance, University of Pennsylvania, 1984-1990

Recent Publications

  • Fiordelisi, F., Pennacchi, G., & Ricci, O. Forthcoming. Are Contingent Convertibles Going-Concern Capital? Journal of Financial Intermediation.
  • Pennacchi, G., & Tchistyi, A. (2019). Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities. Review of Financial Studies, 32 (6), 2302-2340.
  • Pennacchi, G., & Tchistyi, A. (2019). On Equilibrium when Contingent Capital has a Market Trigger: A Correction to Sundaresan and Wang Journal of Finance (2015). Journal of Finance, 74 (3), 1559-1576.
  • Iannotta, G., Pennacchi, G., & Santos, J. (2019). Ratings-Based Regulation and Systematic Risk Incentives. Review of Financial Studies, 32 (4), 1374-1415.
  • Pennacchi, G. (2019). Banks, Taxes, and Nonbank Competition. Journal of Financial Services Research, 55 (1), 1-30.
  • Pennacchi, G., & Brown, J. (2016). Discounting Pension Liabilities: Funding versus Value. Journal of Pension Economics and Finance, 15 254-284.

Other Publications

Articles

  • Pennacchi, G., Park, K., & Han, J. (2015). Corporate Taxes and Securitization. Journal of Finance, 70 (3), 1287-1321.
  • Pennacchi, G., Vermaelen, T., & Wolff, C. (2014). Contingent Capital: The Case of COERCs. Journal of Financial and Quantitative Analysis, 49 (3), 541-574.
  • Pennacchi, G., & Gledson de Carvalho, A. (2012). Can a Stock Exchange Improve Corporate Behavior? Evidence from Firms' Migration to Premium Listings in Brazil. Journal of Corporate Finance, 18 (4), 883-903.
  • Haubrich, J., Pennacchi, G., & Ritchken, P. (2012). Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps. Review of Financial Studies, 25 (5), 1588-1629.
  • Pennacchi, G. (2012). Narrow Banking. Annual Review of Financial Economics, 4 141-159.
  • Pennacchi, G., & Rastad, M. (2011). Portfolio Allocation for Public Pension Funds. Journal of Pension Economics and Finance, 10 (2).
  • Pennacchi, G., & Chen, H. (2009). Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence. Journal of Financial and Quantitative Analysis, 44 (4), 745-775.
  • Pennacchi, G., & Park, K. (2009). Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation. Review of Financial Studies, 22 (1), 1-40.
  • Pennacchi, G. (2006). Deposit Insurance, Bank Regulation, and Financial System Risks. Journal of Monetary Economics, 53 1-30.
  • Kahn, C., Pennacchi, G., & Sopranzetti, B. (2005). Bank Consolidation and the Dynamics of Consumer Loan Interest Rates. Journal of Business, 78 (1, Part 2), 99-133.
  • Pennacchi, G. (2005). Risk-Based Capital Standards, Deposit Insurance, and Procyclicality. Journal of Financial Intermediation, 14 432-465.
  • Pennacchi, G., & Falkenheim, M. (2003). The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach. Journal of Financial Services Research.
  • Pennacchi, G. (2000). The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves. Journal of Financial Services Research, 17 (1).
  • Kahn, C., Pennacchi, G., & Sopranzetti, B. (1999). Bank Deposit Rate Clustering: Theory and Empirical Evidence. Journal of Finance, 54 (6), 2185-2214.
  • Pennacchi, G. (1999). The Value of Guarantees on Pension Fund Returns. Journal of Risk and Insurance, 66 (2).
  • Pennacchi, G., & Lewis, C. (1999). Valuing Insurance for Defined-Benefit Pension Funds. Advances in Futures & Options Research, 10.
  • Pennacchi, G., & Claessens, S. (1996). Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds. Journal of Financial and Quantitative Analysis.
  • Pennacchi, G., & Hutchison, D. (1996). Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits. Journal of Financial and Quantitative Analysis.
  • Pennacchi, G., & Jegadeesh, N. (1996). The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures. Journal of Money, Credit, and Banking.
  • Pennacchi, G., Penati, A., & Foresi, S. (1996). Reducing the Cost of Government Debt: the Italian Experience and the Role of Indexed Bonds. Swedish Economic Policy Review, 3.
  • Pennacchi, G., Ritchken, P., & Sankarasubramanian, L. (1996). On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models. Review of Derivatives Reseach.
  • Pennacchi, G., & Gorton, G. (1995). Banks and Loan Sales: Marketing Non-Marketable Assets. Journal of Monetary Economics, 35.
  • Pennacchi, G., Cooperstein, R., & Redburn, F. (1995). The Aggregate Cost of Deposit Insurance: A Multi-period Analysis. Journal of Financial Intermediation.
  • Pennacchi, G., & Lewis, C. (1994). The Value of Pension Benefit Guaranty Corporation Insurance. Journal of Money, Credit, and Banking, 26.
  • Pennacchi, G., & Gorton, G. (1993). Security Baskets and Index-Linked Securities. Journal of Business.
  • Pennacchi, G. (1991). Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data. Review of Financial Studies.
  • Pennacchi, G., & Borensztein, E. (1990). Valuation of Interest Payment Guarantees on Developing Country Debt. International Monetary Fund Staff Papers, 37.
  • Pennacchi, G., & Gorton, G. (1990). Financial Intermediaries and Liquidity Creation. Journal of Finance.
  • Pennacchi, G., & Penati, A. (1989). Optimal Portfolio Choice and the Collapse of a Fixed Exchange Rate Regime. Journal of International Economics.
  • Pennacchi, G. (1988). Loan Sales and the Cost of Bank Capital. Journal of Finance.
  • Pennacchi, G. (1987). A Reexamination of the Over-(or Under-) Pricing of Deposit Insurance. Journal of Money, Credit, and Banking.
  • Pennacchi, G. (1987). Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance.

Books and Monographs

  • Pennacchi, G. (2008). Theory of Asset Pricing. Reading, MA: Addison-Wesley.

Honors and Awards

  • Award for Excellence in Graduate Teaching Gies College of Business, 2019

Grants

  • , Pension Research Council Grant, University of Pennsylvania, 1997
  • , College of Commerce Bureau of Economic and Business Research, College of Commerce, 1993
  • , University of Illinois Research Board Grant, University of Illinois at Urbana-Champaign, 1991-1992,1995,1999-2000
  • , National Science Foundation Graduate Fellowship, National Science Foundation, 1979-1982

Service

  • Associate Editor, Journal of Financial Stability, 2019 to present
  • Associate Editor, Journal of Financial Intermediation, 2013 to present
  • Associate Editor, Journal of Financial and Quantitative Analysis, 2006 to present

Teaching Interests

Teaches courses in financial institutions and markets; and security pricing.

Research Interests

Research interests include financial institutions, derivative securities, and bond markets.

Courses

  • Fixed Income Portfolios (FIN 415) Conceptual foundations and implementation of strategies for the selection, evaluation, and revision of portfolios of fixed-income financial assets (bonds). 3 undergraduate hours. No graduate credit.
  • Fixed Income Portfolios (FIN 515) Conceptual foundations and implementation of strategies for the selection, evaluation, and revision of portfolios of fixed-income financial assets (bonds); examination of related research.
  • Finance Doctoral Seminar (FIN 580) Approved for letter and S/U grading. May be repeated to a maximum of 18 hours in a semester; may be repeated to a maximum of 32 hours in subsequent semesters.
  • Theory of Finance (FIN 591) Examines theoretical frameworks for financial decision making under certainty and uncertainty, as well as perfect and imperfect capital markets; discusses state preference, mean-variance, and continuous time models; emphasizes the structure of individual utility functions.

Contact

4041 Business Instructional Facility

515 Gregory Drive

Champaign, IL 61820

217-244-0952

gpennacc@illinois.edu

Vita

Google Scholar

Homepage