Team

Dr. rer. pol. Alexander Blasberg

Wissenschaftlicher Mitarbeiter

Dr. rer. pol. Alexander Blasberg

Raum:
R11 T07 D31
Telefon:
+49 201 18-34414
E-Mail:
Sprechstunde:
By arrangement

Lebenslauf:

Professional experience

  • 01/2024–present: Postdoctoral Researcher, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel
  • 12/2019–12/2023: 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

  • 2019–2023: Doctor (Dr. rer. pol.) in Mathematical Finance, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel, magna cum laude
  • 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%

Ehrungen und Auszeichnungen:

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

Forschungsgebiete:

Quantitative Climate Finance, Carbon Risk

Publikationen:

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  • Blasberg, A.: Climate Risk and Credit Risk - Theory and Empirics (1). 2024. doi:10.17185/duepublico/81488VolltextBIB DownloadDetails

    Given the potentially severe financial consequences due to climate change, understanding how climate risks contribute to firms’ credit risk is essential. Building on a Merton-type model, we propose a new model that introduces a random growth adjustment factor in the firm value dynamics to reflect the depreciation due to climate risks. We also review the current state of the literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. Motivated by the theoretical models, we utilize the information contained in the spreads of Credit Default Swap (CDS) contracts to construct a market-implied, forward-looking carbon risk (CR) factor. We examine empirically how the scope and speed of economic transformation vary across jurisdictions, sectors, and over time. Explicit carbon emission pricing enables lenders to sharpen their assessments. The breadth of the regulation intensifies financial repercussions from carbon risk. The impact differs significantly across industries, indicating that the market identifies which sectors are better poised for a transition to a low-carbon economy. Lenders expect that adjustments in carbon regulations in Europe will cause relatively higher policy-related costs in the near future.

  • Blasberg, A.; Kiesel, R.: Climate Risk in Structural Credit Models. In: Benth, F. E.; Veraart, A. E. D. (Hrsg.): Quantitative Energy Finance: Recent Trends and Developments. Springer, 2023, S. 247-267. doi:10.1007/978-3-031-50597-3_7VolltextBIB DownloadDetails

    This survey article reviews the current state of literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. We discuss how the two prominent types of climate risk, physical and transition risk, are captured by the seminal Merton model and its well-known extensions. Theoretical and practical advantages and drawbacks are worked out and an outlook on possible model improvements is provided.

  • Blasberg, A.; Kiesel, R.; Taschini, L.: Carbon Default Swap – Disentangling the Exposure to Carbon Risk Through CDS, 2021. VolltextBIB DownloadDetails

    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), S. 1-6. doi:10.1109/EEM.2019.8916326VolltextBIB DownloadDetails

    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.

Tagungen:

  • 02/2024: Stochastic Modelling in Insurance, Asset Management and Banking Workshop, Burghausen, Germany.
  • 11/2023: Quantitative Finance and Actuarial Science (QFAS) Workshop, Tilburg, Netherlands (online).
  • 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.

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