Dr Marcel Prokopczuk, CFA
| Senior Lecturer in Finance Programme Director: MSc Financial Research E:m.prokopczuk@icmacentre.ac.uk T: +44 (0118) 378 4389 Specialisms: Derivatives, Commodity Markets, Risk Management |
Biography
Marcel joined the ICMA Centre in September 2009 as a Lecturer and has been promoted to Senior Lecturer in July 2011. He 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 (PRM) designation. Marcel's main research interests are commodity markets, derivatives, and risk management.
Grants and Awards
Research grant from the British Academy for the project: "Risk Premia in Commodity Markets", 2011 - 2013
Faculty Award for Outstanding Contributions to Teaching and Learning, University of Reading, 2011
Pump-priming grant from the Research Endowment Trust, University of Reading, 2010
Travel Grants from the German Research Foundation (DFG) and the German Academic Exchange Service (DAAD), 2008, 2009
Working Papers
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
(with J. Back and M. Rudolf)
Revise and resubmit: Management Science
Seasonality and the Valuation of Commodity Options
(with J. Back and M. Rudolf)
Revise and resubmit: Journal of Banking and Finance
An Empirical Model Comparison for Valuing Crack Spread Options
(with S. Mahringer)
Revise and resubmit: Journal of Futures Markets
Risk Premia in Covered Bond Markets
(with V. Vonhoff)
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
(with C. Alexander and A. Sumawong)
The Dynamics of Commodity Prices
(with C. Brooks)
Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage
(with C. Brooks and Y. Wu)
Futures Basis, Scarcity and Commodity Price Volatility: An Empirical Analysis
(with C. Brooks, E. Lazar and L. Symeonidis)
Systemic Risk: Is the Banking Sector Special?
(with W. Buehler)
My working papers are available on: SSRN
Publications
The Case of Negative Day-ahead Electricity Prices
(with E. Fanone and A. Gamba)
Energy Economics, forthcoming
Investing in Commodity Futures Markets: Can Pricing Models Help?
(with R. Paschke)
European Journal of Finance, in press
American Option Valuation: Implied Calibration of GARCH Pricing Models
(with M. Weber)
Journal of Futures Markets (2011), Vol. 31(10), 971-994
Portfolio Management in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets
Decisions in Economics and Finance (2011), Vol. 34(2), 141-168
Pricing and Hedging in the Freight Futures Market
Journal of Futures Markets (2011), Vol. 31(5), 440-464
Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector
Applied Financial Economics (2010), Vol. 20(20), 1601-1613
Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics
(with R. Paschke)
Journal of Banking and Finance (2010), Vol. 34(11), 2741-2752
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
(with R. Paschke)
Journal of Energy Markets (2009), Vol. 2(3), 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), 1033-1049
Invited Talks
2012
University of Liverpool (scheduled)
2011
University of Trondheim
University of Cardiff
Hitotsubashi University, Tokyo
University of East Anglia, Norwich
2010
University of St. Gallen
University of Mannheim
Practial Quantitative Analysis in Commodities Conference, London
2009
University of Regensburg
2008
Macquarie University, Sydney
University of Reading
Conference Presentations
2012
Eastern Finance Association Annual Meetings, Boston, April 2012, forthcoming
2011
Southern Finance Association Annual Meetings (SFA), Key West, November 2011
German Finance Association (DGF), Regensburg, September 2011
World Finance Conference, Rhodes, June 2011 (2 papers)
Financial Management Association (FMA), European Meeting, Porto, June 2011
ISCTE Business School Conference on Commodities & Energy Markets, May 2011
Nippon Finance Association Meeting, Tokyo, May 2011
Swiss Society for Financial Market Research (sgf), Zurich, April 2011
Midwest Finance Association Meeeting (MFA), Chicago, March 2011
2010
Financial Management Association (FMA), New York, October 2010*
European Finance Association Meeting (EFA), Frankfurt, August 2010
World Congress of the Bachelier Finance Society, Toronto, June 2010
Financial Management Association (FMA), European Meeting, Hamburg, June 2010 (1 + 2* papers)
German Academic Association for Business Research (VHB), Bremen, May 2010
Eastern Finance Association Annual Meetings, Miami, April 2010
Swiss Society for Financial Market Research (sgf), Zurich, March 2010
2009
Southern Finance Association 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 Association (EEA-ESEM), Barcelona, August 2009
Econometric Society, Asian Meeting, Tokyo, August 2009
Conference on International Finance (INFINTI), Dublin, June 2009 (2 papers)
Financial Management Association (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)
