Browsing Fakultet for økonomi (ØK) by Author "Paraschiv, Florentina"
Now showing items 1-20 of 32
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A Comparison of Risk Measures for Accidents in the Energy Sector and Their Implications on Decision-Making Strategies
Spada, Matteo; Paraschiv, Florentina; Burgherr, Peter (Journal article, 2018)Within the broader context of energy security and critical infrastructure protection, the comprehensive assessment of accidents and their related consequences are of high priority for many stakeholders. The risk of accidents ... -
A space-time random field model for electricity forward prices (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen; Paraschiv, Florentina (Journal article; Peer reviewed, 2017)Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a ... -
A spot-forward model for electricity prices with regime shifts
Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael (Journal article, 2014)We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and ... -
Back to the roots of internal credit risk models: Does risk explain why banks' risk-weighted asset levels converge over time?
Böhnke, Victoria; Ongena, Steven Roger Godelieve; Paraschiv, Florentina; Reite, Endre Jo (Journal article; Peer reviewed, 2023)The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially ... -
Banking Regulations on Credit Risk and Credit Value Adjustment
Sæther, Bjørnar Blækkan; Joachimsen, Stian (Master thesis, 2019)I denne oppgaven ser vi på Credit Value Adjustment (CVA) beregninger for rentebytteavtaler sammen med endringene som er gjort gjennom Basel reguleringer fra Basel Committee on Banking Supervision (BCBS). Vi gjennomgår ... -
A comparative analysis of parsimonious yield curve models with focus on the Nelson-Siegel, Svensson and Bliss versions
Wahlstrøm, Ranik Raaen; Paraschiv, Florentina; Schuerle, Michael (Peer reviewed; Journal article, 2021)We shed light on computational challenges when fitting the Nelson-Siegel, Bliss and Svensson parsimonious yield curve models to observed US Treasury securities with maturities up to 30 years. As model parameters have a ... -
Counteroffers and Price Discrimination in Mortgage Lending
Ongena, Steven Roger Godelieve; Paraschiv, Florentina; Reite, Endre Jo (Peer reviewed; Journal article, 2023)This study analyzes price discrimination and household switching in the residential mortgage market. Using a unique proprietary micro dataset from Norway, we examine the factors that influence a bank’s choice to counter ... -
Cross-border Effects between the Spanish and French Electricity Markets: Asymmetric Dynamics and Benefits in the Light of European Market Integration.
Mas Urquijo, Ignacio; Paraschiv, Florentina (Journal article; Peer reviewed, 2022) -
Cross-border effects on Swiss electricity prices in the light of the energy transition
Paraschiv, Florentina; Frauendorfer, Karl; Schuerle, Michael (Journal article; Peer reviewed, 2018)Given the perspective of the Swiss energy policy to support investments in renewable energy sources, it becomes highly relevant at this point to understand cross-border effects of imported electricity on the Swiss electricity ... -
A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection
Paraschiv, Florentina; Li, Wei; Sermpinis, Georgios (Peer reviewed; Journal article, 2022)The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) ... -
Econometric analysis of 15-minute intraday electricity prices
Kiesel, Rüdiger; Paraschiv, Florentina (Journal article; Peer reviewed, 2017)The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and photovoltaic, which requires power ... -
Econometric analysis of the determinants of electricity wholesale prices in Switzerland and Germany (Project Financed by Swiss Federal Office of Energy)
Paraschiv, Florentina; Frauendorfer, Karl; Schuerle, Michael (Research report, 2017) -
Essays on the IFRS based Financial Accounting Research
Kainth, Akarsh (Doctoral theses at NTNU;2023:169, Doctoral thesis, 2023)SAMMENDRAG Internasjonale regnskapsstandarder (IFRS) er kjent for å forbedre transparens, kvalitet på finansiell rapportering og internasjonal sammenstilling av finansielle rapporter. Siden EU innførte krav om bruk av ... -
Financial data science for exploring and explaining the ever-increasing amount of data
Wahlstrøm, Ranik Raaen (Doctoral theses at NTNU;2021:272, Doctoral thesis, 2021)Summary This thesis contributes to data-driven financial studies by arguing for two potential improvements of financial data science over pure financial econometrics. First, this thesis argues for letting a data-driven ... -
Forecasting Price Distributions in the German Electricity Market
Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene (Chapter, 2018)Electricity price distributional forecasts are crucial to energy risk management. In this paper we model and forecast Value at Risk (VaR) for the German EPEX spot price using variable selection with quantile regression, ... -
A Fundamental Model for Continuous Intraday Electricity Trading
Kremer, Marcel; Kiesel, Rüdiger; Paraschiv, Florentina (Peer reviewed; Journal article, 2020)This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-minute contracts. A unique data set of intradaily updated forecasts of renewable power generation is analyzed. ... -
Grønne fond på Oslo Børs
Johansen, Kristine; Vu, Christine Vi Dung (Master thesis, 2020)Denne studien er en komparativ analyse av grønne fond mot vanlige fond registrert på Oslo Børs. Formålet med oppgaven er å undersøke om vi kan finne forskjeller i prestasjon for de to fondstypene. Grønne investeringer har ... -
Intraday Electricity Pricing of Night Contracts
Kremer, Marcel; Kiesel, Rüdiger; Paraschiv, Florentina (Peer reviewed; Journal article, 2020)This paper investigates the intraday electricity pricing of 15-min. contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day ... -
Marketplace lending: An analysis of the opportunities for lenders and borrowers in the Scandinavian market.
Løken, Mathias Husby (Master thesis, 2019)I denne masteroppgaven undersøker jeg mulighetene for både investorer og låntakere i markedet for lånebasert folkefinansiering i Skandinavia. Jeg beskriver gjeldende regelverk og markedets foreløpige status gjennom beskrivende ... -
Modeling the multivariate dynamic dependence structure of commodity futures portfolios
Aepli, Matthias, D.; Füss, Roland; Henriksen, Tom Erik Sønsteng; Paraschiv, Florentina (Journal article, 2017)This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the ...