Renewables introduce new weather-induced patterns and risks for market participants active in the energy commodity sector. We present a flexible framework for power spot prices that is capable of incorporating a weather model for the joint distribution of local weather conditions. This not only...

This study provides a rigorous empirical comparison of structural and reduced-formcredit risk frameworks. As major difference we focus on the discriminative modelingof the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable...

In this paper, we explore the stochastic nature of implied recovery rates. We exploit the fact that differently-ranking debt instruments of the same issuer face identical default risk but different defaultconditionalrecovery rates. Specifically, we extract information from Credit Default Swaps...

This paper analyzes the investment timing of firms facing two dimensions of financingconstraints: Liquidity constraints and capital market frictions inducing financing costs. We showthat liquidity constraints are not sufficient to explain voluntary investment delay. However, whenadditionally...

Objective of this paper is to enhance the understanding of modelling jumpsand to analyse the model risk based on the jump component in electricity markets.We provide a common modelling framework that allows to incorporate the main jumppatterns observed in electricity spot prices and compare the...

Credit default swaps (CDSs) are among the most successful financial innovationsof recent years, which is reflected in the rapidly expanding market. CDS trading occurs inthe over-the-counter market, which relies heavily on broker intermediation to arrangetrades. We provide empirical evidence that...

Die Bewertung derivativer Zinsinstrumente erfolgt inder Praxis häufig mit Hilfe des Bewertungsmodells von Black [1]. Dabeiwird die Mean-Reversion-Eigenschaft von Zinssätzen vernachlässigt. Beizahlreichen Finanzinnovationen ist jedoch aufgrund ihrer Struktur davonauszugehen, daß ihr Wert...

Our main goal is to investigate the question of which interest-rate options valuationmodels are better suited to support the management of interest-rate risk. Weuse the German market to test seven spot-rate and forward-rate models with oneand two factors for interest-rate warrants for the period...