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Karl Frauendorfer
Title
Prof. Dr.
Last Name
Frauendorfer
First name
Karl
Email
karl.frauendorfer@unisg.ch
Phone
+41 71 224 2105
Now showing
1 - 10 of 23
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PublicationType: working paper
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PublicationManagement Summary - Empirical analyses of financial reports of Alpiq, Axpo, BKW (fiscal years 2009-2018)( 2021-06-28)Würdigung: Die Ergebnisse dieser Studie basieren auf Modellen und Methoden des ior/cf-HSG, deren Entwicklung als Teil der Aktivitäten innerhalb des SCCER CREST (2014-2020) finanziell durch die innosuisse mitunterstützt wurde.Type: working paper
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PublicationManagement Summary - Empirische Analysen zu Finanzberichten der Alpiq, Axpo, BKW - (Geschäftsjahre 2009-2018)( 2021-06-28)Würdigung: Die Ergebnisse dieser Studie basieren auf Modellen und Methoden des ior/cf-HSG, deren Entwicklung als Teil der Aktivitäten innerhalb des SCCER CREST (2014-2020) finanziell durch die innosuisse mitunterstützt wurde.Type: working paper
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PublicationLiquidity-related Price Sensitivities of Closing Auctions in Equity Markets( 2020-11-09)Müller, LouisType: working paper
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PublicationType: working paper
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PublicationMultivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation( 2015)
;Aepli, Matthias D.This paper introduces multivariate dynamic copula models to account for the time-varying dependence structure in asset portfolios. We firstly enhance the fexibility of this structure by modeling regimes with multivariate mixture copulas. In our second approach, we derive dynamic elliptical copulas by applying the dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The best-ranked copulas according to both in-sample fit and out-of-sample forecast performance indicate the importance of accounting for time-variation. The superiority of multivariate dynamic Clayton and Student-t models further highlight that positive tail dependence as well as the capability of capturing asymmetries in the dependence structure are crucial features of a well-fitting model for an equity portfolio. -
PublicationRisk Measurement in Electricity Markets( 2007)Vinarsky, AnnaElectricity contracts differ substantially from financial contracts making traditional derivatives inapplicable. The main difference lies in the inability to store electricity causing the production to cover demand instantaneously. Therefore, electricity prices often jump to a multiple of their current value only to come back to normal level within a few hours. Spot price volatility is driven by demand whereas prices in the long run are rather affected by the physical ability of technology and generation capacity. A one factor price model like the geometric Brownian motion is insufficient to capture the mean-reverting behaviour of the electricity prices. The model needs to be extended by an additional stochastic factor to reflect electricity price movements realistically. The evolution of sophisticated models and numerical techniques had a lasting effect on the risk perception of companies active in these markets. Facing the problem of managing their risk exposure, market participants seek to offset their risk by hedging and rebalancing their positions. The approach is referred to as the ‘Greeks' or sensitivity analysis whereby each risk factor is assigned to a 'Greek Letter'. An alternative risk management technique which summarizes the total risk in a single number is known as VaR. Despite its popularity, the VaR concept should be handled with caution when it is applied to electricity markets. This work aims at providing further insights into risk management in electricity markets in general and into sensitivity analysis in particular. The goal of this paper is a systematic analysis and comparison of the ‘Greeks' under the assumption of different price dynamics. Moreover, it tries to demonstrate the limits of traditional risk management methods such as VaR and their modification. In the last part, model test are carried out in order prove the accuracy of the used software tool for option valuation.Type: working paper
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