The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional...

We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...

We measure the impact of warnings of expropriation and of forced divestments of private property on the stock prices of the parent company. We use a unique database of 116 events in 12 countries from 2005 to 2013. Our results show significant negative effects on the stock prices of different...

Power Purchase Agreements (PPA) play a significant role in deploying renewable energy, a crucial development to meet climate change challenges. Participants set the PPA price through opaque negotiation processes. We present novel, replicable, and transparent financial models to compute the PPA...

We study the extent to which the impact of tail risk spillovers, originating in the financial sector and affecting real-economy firms, depends on the level of cash holdings and the financial conditions of the firm. Empirical evidence on 4,320 firms located in 16 European countries, from 2003 to...

We model systemic risk by including a common factor exposure to market-wide shocks and an exposure to tail dependence effects arising from linkages among extreme stock returns. Specifically our model allows for the firm-specific impact of infrequent and extreme events. When a jump occurs, its...