Analyzing price data from sequential German electricity markets, namely the day-ahead and intraday auction, a puzzling but apparently systematic pattern of price premiums can be identified. The price premiums are highly correlated with the underlying demand profile. As there is evidence that...

Capacity Remuneration Mechanisms (CRM) can be used in power markets to overtake market failures, reaching security of supply. However, investment in capacity is a dynamic process, that depends on the evolution of prices and costs overtime. In our paper we study the capacity remuneration value...

For a given set of banks, which economic and financial scenarios will lead to big losses? How big can losses in such scenarios possibly get? These are the two central questions of macro stress tests. We believe that most current macro stress testing models have deficits in answering these...

We present a simple and operational yet rigorous framework that combines current methods of bank solvency stress tests with a description of fire sales. We demonstrate the applicability of our framework to the EBA stress testing exercise. Fire sales are described by an equilibrium model which...

Recent developments in the theory of production networks offer interesting applications and revival of input-output analysis. Some recent papers have studied the propagation of a temporary, negative shock through an input-output network. Such analyses of shock propa- gation relies on...

Die Politik in Deutschland und vielen anderen EU-Ländern hat seit Spätsommer 2022 zunehmend die Option einer Gaspreisbremse und von Transferzahlungen an private Haushalte bei Gas-, Wärme- und Strombezug diskutiert. Wie eine Gaspreisbremse ausgestaltet sein soll - für jede Gaskundschaft im...

Enrico Bombieri proved that the ABC Conjecture implies Roth's theorem in 1994. This paper concerns the other direction. In making use of Bombieri's and Van der Poorten's explicit formula for the coefficients of the regular continued fractions of algebraic numbers, we prove that Roth's theorem...

Enrico Bombieri proved that the ABC Conjecture implies Roth's theorem in 1994. This paper concerns the other direction. In making use of Bombieri's and Van der Poorten's explicit formula for the coefficients of the regular continued fractions of algebraic numbers, we prove that Roth's theorem...

Samuelson's (1938) weak (generalized) axiom of revealed preference- WGARP-is a minimal and appealing consistency condition of choice. We offer a rationalization of WGARP in general settings. Our main result is an exact analog of the celebrated Afriat's theorem, but for WGARP. Its ordinal...

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...