Dr Marcel Prokopczuk, CFA
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Lecturer in Finance E:m.prokopczuk@icmacentre.ac.uk T: +44 (0118) 378 4389 Specialisms: Empirical Asset Pricing, Derivatives, Commodity Markets, Risk Management |
Biography
Marcel holds a PhD in Finance from the University of Mannheim, Germany and previously graduated from the University of Karlsruhe, Germany with a MSc in Business Engineering. He is a CFA charterholder and holder of the Professional Risk Manager (PRMTM) designation. Marcel's main research interests are empirical asset pricing, derivatives, commodity markets, risk management and systemic risk. He joined the ICMA Centre in fall 2009.
Publications
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
(with R. Paschke)
Journal of Energy Markets (2009), Vol. 2(3), pp. 47-82
Quantifying Risk in the Electricity Business: A RAROC-based Approach
(with S.T. Rachev, G. Schindlmayr and S. Trueck)
Energy Economics (2007), Vol. 29(5), pp. 1033-1049
Working Papers
Pricing and Hedging in the Freight Futures Market
Seasonality and the Valuation of Commodity Options
(with J. Back and M. Rudolf)
Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics
(with R. Paschke)
An Empirical Model Comparison for Valuing Crack Spread Options
(with S. Mahringer)
American Option Valuation: Implied Calibration of GARCH Pricing-Models
(with M. Weber)
Investing in Commodity Futures Markets: Can Pricing Models Help?
(with R. Paschke)
Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector
Portfolio Management in the Presence of Systemic Risk
Systemic Risk: Is the Banking Sector Special?
(with W. Buehler)
(My working papers are available on SSRN. If not, the paper is currently revised)
Conference Presentations
2010
Financial Management Assocation (FMA), European Meeting, Hamburg, forthcoming June 2009 (1 + 2* papers)
Eastern Finance Assocation Annual Meetings (EFA), Miami, forthcoming April 2010
Swiss Society for Financial Market Research (sgf), Zurich, forthcoming March 2010
2009
Southern Finance Assocation Annual Meetings (SFA), Captiva Island (Florida), November 2009*
Financial Management Association (FMA), Reno, October 2009
German Finance Association (DGF), Frankfurt, October 2009 (2*+1 papers)
European Economic Assocation (EEA-ESEM), Barcelona, August 2009
Econometric Society, Far East and South Asia Meeting, Tokyo, August 2009
Conference on International Finance (INFINTI), Dublin, June 2009 (2 papers)
Financial Management Assocation (FMA), European Meeting, Turin, June 2009 (2 papers)
Swiss Society for Financial Market Research (sgf), Geneva, April 2009 (2 papers)
2008
Financial Management Association (FMA), Grapevine (Dallas), October 2008
Conference on Financial Modelling in Energy Markets, Karlsruhe, October 2008*
European Economic Association (EEA-ESEM), Milan, August 2008
European Financial Management Association (EFMA), Athens, June 2008*
Financial Management Association (FMA), European Meeting, Prague, June 2008*
European Financial Management Symposium on Risk and Asset Management, Nice, April 2008*
Swiss Society for Financial Market Research (sgf), Zurich, April 2008
2007
Australasian Finance and Banking Conference, Sydney, December 2007
German Economic Association (Verein fuer Socialpolitik), Munich, October 2007
German Finance Association (DGF), Dresden, September 2007
Conference on Information in Bank Asset Prices: Theory and Empirics, Ghent, September 2007
(* presentation by co-author)
