Curriculum Vitae:

Professional experience

• 12/2019–present: Research Assistant, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel
• 10/2017–12/2019: Research Aide, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel
• 10/2017–12/2019: Research Aide, University of Duisburg-Essen, Essen, Chair of Econometrics, Prof. Dr. C. Hanck
• 04/2017–09/2017: Student Assistant, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel
• 04/2016–09/2017: Student Assistant, University of Duisburg-Essen, Essen, Chair of Econometrics, Prof. Dr. C. Hanck
• 10/2014–01/2015: Student Assistant, University of Duisburg-Essen, Essen, Chair of Econometrics, Prof. Dr. C. Hanck

Education

• 2019–present: Ph.D. Student in Mathematical Finance, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel
• 2017–2019: M.Sc. Energy & Finance, University of Duisburg-Essen, Essen, with distinction
• 2013–2017: B.Sc. Business Administration, University of Duisburg-Essen, Essen, among the top 2.5%

Honours and Awards:

• Best Paper Award at the 8th Conference of the Energy Finance Italia
• Best Paper Award (ESG & Sustainable Finance) at the Clermont Financial Innovation Workshop

Fields of Research:

Quantitative Climate Finance, Carbon Risk

Publications:

• Blasberg, A.; Kiesel, R.: Climate Risk in Structural Credit Models, 2023. CitationDetails
• Blasberg, A.; Kiesel, R.; Taschini, L.: Carbon Default Swap – Disentangling the Exposure to Carbon Risk Through CDS, 2021. Full textCitationAbstractDetails

  Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises where and which sectors are better positioned for a transition to a low-carbon economy. Moreover, lenders demand more credit protection for those borrowers perceived to be more exposed to carbon risk when market-wide concern about climate change risk is elevated. Finally, lenders expect that adjustments in carbon regulations in Europe will cause relatively larger policy-related costs in the near future.

• Blasberg, A.; Graf von Luckner, N.; Kiesel, R.: Modeling the Serial Structure of the Hawkes Process Parameters for Market Order Arrivals on the German Intraday Power Market. In: 16th International Conference on the European Energy Market (EEM) (2019), p. 1-6. doi:10.1109/EEM.2019.8916326Full textCitationAbstractDetails

  Existing research indicates that on the intraday market for power deliveries in Germany market orders tend to arrive in clusters. To capture such clustering, point processes with an intensity depending on past events, so-called Hawkes processes, appear to be promising. We consider the question whether there is a temporal structure prevalent in the parameters of Hawkes processes estimated for adjacent delivery hours. First we model a diurnal seasonality pattern found in the data and provide an economic intepretation for it. For the remaining decomposed series, we then propose simple (vector) autoregressive models to describe the serial structure. To evaluate our model we conduct a forecasting study. Testing against a benchmark model and a model without any serial structure, we find evidence for our proposed model. Our study reveals that capturing the serial structure in the parameters proves to be useful in understanding the underlying market microstructure.

Conferences:

• 07/2023: 98th Annual Conference of the Western Economic Association International (WEAI), San Diego (CA), US.
• 06/2023: 39th Conference of the French Finance Association (AFFI), Bordeaux, France.
• 05/2023: 9th International Symposium on Environment and Energy Finance Issues (ISEFI), Paris, France (online).
• 05/2023: 2nd Conference on Climate, Weather and Carbon Risk in Energy and Finance, Oslo, Norway.
• 04/2023: Clermont Financial Innovation Workshop, Clermont, France (online).
• 03/2023: 16th Financial Risks International Forum, Paris, France.
• 02/2023: 11th Annual Conference of the Italian Association of Environmental and Resource Economists (IAERE), Naples, Italy.
• 02/2023: 8th Conference of the Energy Finance Italia (EFI), Milan, Italy.
• 02/2023: RCEA-Europe International Conference on Global Threats to the World Economy, Milan, Italy (online).
• 11/2022: 3rd CEFGroup Climate Finance Symposium, Dunedin, New Zealand (online).
• 06/2022: Annual Meeting of the Commodity & Energy Markets Association (CEMA), Chicago (IL), US.
• 06/2022: 4th International Conference on Computational Finance (ICCF), Wuppertal, Germany.
• 05/2022: 1st Conference on Climate, Weather and Carbon Risk in Energy and Finance, Oslo, Norway.
• 10/2021: 27th Annual Meeting of the German Finance Association (DGF), Innsbruck, Austria.
• 09/2021: 20th International Conference on Credit Risk Evaluation (CREDIT), Venice, Italy.
• 08/2021: 5th Conference on Econometric Models of Climate Change (EMCC), Victoria, Canada (online).
• 02/2021: 6th Conference of the Energy Finance Italia (EFI), Brescia, Italy (online).
• 09/2019: 8th International Ruhr Energy Conference (INREC), Essen, Germany.
• 09/2019: 16th International Conference on the European Energy Market (EEM), Ljubljana, Slovenia.

Courses:

• SS 2023: Selected Topics in Risk Management
• WS 2022/2023: Energy Trading, Basic Course Financial Mathematics, Selected Topics in Risk Management
• SS 2022: Structuring & Valuation, Selected Topics in Risk Management
• WS 2021/22: Energy Trading, Basic Course Financial Mathematics
• SS 2021: Structuring & Valuation
• WS 2020/21: Energy Trading
• SS 2020: Structuring & Valuation, Selected Topics in Risk Management
• WS 2019/20: Energy Trading

Tutored Theses:

• Empirical Risk Assessment of the European Carbon Market (Master Thesis Business Administration) AbstractDetails

  Feng Z., Wei Y., Wang K. Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS, Applied Energy 99, 97-108 (2012), doi:10.1016/j.apenergy.2012.01.070.

  Zhu, B., Ye, S., He, K. et al. Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach. Ann Oper Res 281, 373–395 (2019), doi:10.1007/s10479-018-2982-0.

• Climate Change & COVID-19 - Catastrophic Bonds as a Suitable Hedging Instrument? (Master Thesis Business Administration) AbstractDetails

  The occurence of extreme events like floods, bushfires and pandemics increased significantly over the past decades. The work at hand investigates whether so-called catastrophic (CAT) bonds are a suitable financial instrument to hedge against risks associated with those events.

• The Divergence of ESG Ratings - Do They Really Measure the Same? (Bachelor Thesis Business Administration) AbstractDetails

  Due to the increasing demand of institutional investors for sustainable investing opportunities many providers of environmental, social, and governance (ESG) data exist nowadays. The work at hand provides an overview of available ESG data providers and compares their metrics.

• Financial Modeling and Analysis of Transitional Climate Risk Measures (Master Thesis Business Administration)
• Portfolio Optimization under ESG Constraints (Master Thesis Business Administration)

Academic Duties:

• Contact person for inquiries regarding the House of Energy Markets and Finance
• Co-organizer of the Seminar Series Energy & Finance