Kostas D. Andriosopoulos

• ESCP Business School

The huge penetration of renewable energy sources poses several challenges for the function of electricity markets, such as increased price volatility and massive curtailments. This paper investigates the current structure of the wholesale electricity market in Greece under the Target Model guidelines. Our analysis put under scrutiny the formation a...

This paper presents an extensive comparison between public and private natural gas-fired units in managing the unit commitment problem in the context of the Greek electricity market. Using a unique hourly dataset from 2015–2019, our approach utilizes risk-weighted performance metrics—Cash Flows at Risk (CFaR) and Risk Weighted Return (RWR)—to analy...

Despite the growing importance of operational risk, little is known about the impact of operational losses on the stock prices of energy firms. We fill this void by examining the market reaction of energy firms to a unique international sample of 452 operational loss events announced between 1996 and 2021, constructed using the SAS OpRisk Global Da...

Despite the growing importance of operational risk, little is known about the impact of operational losses on the stock prices of energy firms. We fill this void by examining the market reaction of energy firms to a unique international sample of 452 operational loss events announced between 1996 and 2021, constructed using the SAS OpRisk Global Da...

The European Union Target Model aims to integrate European energy market by removing barriers to trade and align markets. The most important goals of the Target Model are to provide consistent prices, enhance liquidity, support cross boarder trading, facilitate interconnections, and coordinate the use of transmission system capacity. In that contex...

Driven by the liberalization of the energy market that began in the 1990s, the European Union aims to unify its internal market and achieve price convergence among all European economies. The majority of European countries have successfully established power exchanges, aiming to conduct cross-border transactions in a transparent and reliable manner...

In this paper we propose a double curving setup with distinct forward and discount curves to price constant maturity swaps (CMS). Using separate curves for discounting and forwarding, we develop a new convexity adjustment, by departing from the restrictive assumption of a flat term structure, and expand our setting to incorporate the more realistic...

We contribute to the current regulatory debate by examining the wealth and risk effects of the Dodd-Frank Act on U.S. financial institutions. We measure the effects of key legislative events of the Act by means of a multivariate regression model using the seemingly unrelated regression (SUR) framework. Our results indicate a mixed reaction by finan...

We develop an accurate valuation setup for freight options, featuring an exponential mean-reverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we observe that jumps dissipate faster than the diffusive...

Under the Third Energy Package Directives 2009/72/EC and 2009/73/EC, European energy networks are subject to unbundling requirements which oblige Member States to ensure the separation of vertically integrated energy companies, resulting in division of the various stages of energy supply (generation, distribution, transmission and supply). This pap...

The aim of this paper is to investigate if and to what extent events in financially troubled EU markets (Greece, Ireland and Portugal) affected energy prices during the EU financial crisis. More specifically, (i) we test for contagion effects of bond prices on energy/commodity prices, (ii) we examine whether the nature of energy price volatility is...

Over the past decade, France has gradually adapted its energy policy to bring it into line with its international environmental commitments. Historically based on independence and sobriety criteria, French energy policy now prioritises the environmental and climate impact of its energy mix. However, chaotic or fuzzy public policies make this transi...

This study examines the development of corporate failure prediction models for European firms in the energy sector, using a large dataset from 18 countries. The construction of the models is based on a multiple criteria decision aid (MCDA) approach taking into account both ordinal criteria and nominal country-sector effects. The analysis is based o...

This study evaluates the energy efficiency trends of five energy-intensive industries in 23 European Union (EU) countries over the period 2000–2009. In particular, the performance of the construction, electricity, manufacturing, mining and quarrying, and transport sectors is examined. The analysis is based on Data Envelopment Analysis (DEA) combine...

Finance is a popular field for applied and methodological research involving multiple criteria decision aiding (MCDA) techniques. In this study we present an up-to-date bibliographic survey of the contributions of MCDA in financial decision making, focusing on the developments during the past decade. The survey covers all main areas of financial mo...

his paper evaluates the energy efficiency of EU countries over the period 2000–2010. At the first stage, Data Envelopment Analysis (DEA) is employed, combining multiple energy consumption data, economic outputs, structural indicators, and environmental factors. The efficiency estimates obtained from the analysis are evaluated in a second stage thro...

In this paper, we analyze whether regulation reduced risk during the credit crisis and the sovereign debt crisis for a cross section of global banks. In this regard, we examine distance to default (Laeven and Levine, 2008), systemic risk (Acharya et al., 2010), idiosyncratic risk, and systematic risk. We employ World Bank survey data on regulations...

Ratings issued by credit rating agencies (CRAs) play an important role in the global financial environment. Among other issues, past studies have explored the potential for predicting these ratings using a variety of explanatory factors and modeling approaches. This paper describes a multi-criteria classification approach that combines accounting d...

The aim of this paper is to investigate if, and to what extent, events from the three financially troubled EU markets (Greece, Ireland, and Portugal) affected energy prices during the recent EU financial crisis. More specifically, (i) we test for contagion effects from bond markets on energy/commodity prices, (ii) we examine whether the nature of e...

This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm. Portfolios are constructed by a subset of stocks picked from th...

An open market share buyback is not a firm commitment, and there is limited evidence on whether firms repurchase the intended shares. Unlike US studies, we use data from unique UK regulatory and disclosure environment that allows to accurately measure the share buyback completion rates. We show that information disclosure and CEO overconfidence are...

Despite efforts to increase renewables, the global energy mix is still likely to be dominated by fossil-fuels in the foreseeable future, particularly gas for electricity and oil for land, air and sea transport. The reliance on depleting conventional oil and natural gas resources and the geographic distribution of these reserves can have geopolitica...

Purpose This chapter applies an integrated methodology for energy efficiency evaluation and benchmarking, based on nonparametric techniques. The analysis is well suited to the multidimensional nature of energy efficiency. An up-to-date panel data set is used, consisting of countries from the European Union over the period 2000–2010. Approach The an...

Following the importance of gold in the global economy and the high interest that has attracted recently, the objective of this paper is twofold: to predict the price of gold by using the Adaptive Neuro-Fuzzy Inference System (ANFIS) and compare its forecasting accuracy with various time-series forecasting methods and the ‘Buy and Hold’ (B&H) strat...

This paper proposes a set of VaR models appropriate to capture the dynamics of energy prices and subsequently quantify energy price risk by calculating VaR and ES measures. Amongst the competing VaR methodologies evaluated in this paper, besides the commonly used benchmark models, a MC simulation approach and a Hybrid MC with Historical Simulation...

This paper reproduces the performance of a geometric average Spot Energy Index by investing only in a subset of stocks from the Dow Jones Composite Average, the FTSE 100 and Bovespa Composite indexes, and in two pools including only stocks of the energy sector from the US and the UK respectively. Daily data are used and the index-tracking problem f...

This paper reproduces the performance of two international shipping stock indexes and two physical shipping indexes by investing only in stock portfolios that our algorithms determine. In our analysis, we use daily stock data and address the index-tracking problem with the differential evolution and genetic algorithms. Our proposed portfolios are c...

The aim of this paper is to investigate the behaviour of the spot prices of eight of the most important energy markets that trade futures contracts on NYMEX. We model the energy spot prices with a Mean Reversion (MR) and a Mean Reversion Jump Diffusion (MRJD) specification for the returns' series, and a GARCH and EGARCH specification for the varian...