We consider the model risk inherent in the valuation procedure of fossil power plants. To capture model risk we use risk-capturing functionals, a methodology recently established in a series of papers. As gas-fired power plants are seen as flexible and low-carbon sources of electricity which are...

CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perception of the future loss distribution of the underlying credit portfolio. Applying Sklar's seminal decomposition to the distribution of the vector of default times, the portfolio-loss...

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After scrutinizing technical, legal, financial, and actuarial aspects of cyber risk, a new approach for modelling cyber risk using marked point processes is proposed. Key co-variables, required to model frequency and severity of cyber claims, are identified. The presented framework explicitly...

We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon. Besides the theoretical interest, this is also a practical...

CDS pricing and calibration routines in the context of a structural-default model with discontinuous firm-value process are developed. The firm-value process in the considered framework is modeled as the exponential of a jump-diffusion process with two-sided exponentially distributed jumps....

A stochastic time-change is applied to introduce dependence to a portfolio of credit-risky assets whose default times are modeled as random variables with arbitrary distribution. The dependence structure of the vector of default times is completely separated from its marginal default...

Electricity markets feature a non-storable underlying, which implies the break down of traditional cash-and-carry arguments as well as the well-known spot-forward relationship. We introduce the notion of information premium to describe the influence of future information - such as planned power...

We conduct an empirical analysis of three recently proposed and widely used models for electricity spot price process. The first model, called the jump-diffusion model, was proposed by Cartea and Figueroa (2005), and is a one-factor mean-reversion jump-diffusion model, adjusted to incorporate...

Equilibrium models have been widely used in literature with the aim of showing theoretical properties of emission trading systems. This paper derives first a new equilibrium model. Second, it is shown that the theoretical permit price is related to changes in the expectation about how long...