- 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
- 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%
Fields of Research:
Quantitative Climate Finance, Carbon Risk
- Blasberg, A.; Kiesel, R.; Taschini, L.: Climate Default Swap – Disentangling the Exposure to Transition Risk Through CDS, 2021. Full textCitationAbstractDetails
The substantial economic transformation required to mitigate and adapt to climate change will lower the value of certain businesses as well as some firms' assets in the not-too-distant future. Firms will need to transition to a less carbon-intensive business model, but may do so at different times and at different speeds, incurring different costs and risks in the process. We propose and implement a novel market-based measure of exposure to transition risk (transition risk factor) and examine how this risk affects firms' creditworthiness. We discipline the exercise by using Credit Default Swap (CDS) spreads to capture differential exposure to transition risk across economic sectors. We show that the transition risk factor is a relevant determinant of CDS spreads and provide evidence of the relationship between the differential exposure to transition risk and firms' cost of default protection. This effect is particularly pronounced during deteriorating credit market movements. However, effects vary substantially across industries, reflecting the fact that transition risk impacts firms' valuation differently depending on their sector. Our findings also suggest that investors seek greater protection against transition risks in the short– to medium-term, indicating an expectation of a swift transformation of the entire economic structure.
- 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.
- 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 (virtual).
- 02/2021: 6th Workshop of the Energy Finance Italia (EFI), Brescia, Italy (virtual).
- 09/2019: 8th International Ruhr Energy Conference (INREC), Essen, Germany.
- 09/2019: 16th International Conference on the European Energy Market (EEM), Ljubljana, Slovenia.
- Financial Modeling and Analysis of Transitional Climate Risk Measures (Master Thesis Business Administration, in progress)
- Empirical Risk Assessment of the European Carbon Market (Master Thesis Business Administration)
- Climate Change & COVID-19 - Catastrophic Bonds as a Suitable Hedging Instrument? (Master Thesis Business Administration)
- The Divergence of ESG Ratings - Do They Really Measure the Same? (Bachelor Thesis Business Administration)