Florentina Paraschiv

Zeppelin University, Chair of Finance

Professor, Chair of Finance ZU

Am Seemooser Horn 20

Friedrichshafen, 88045

Germany

Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School

Professor II

Klæbuveien 72

Trondheim, NO-7030

Norway

University of St. Gallen, Institute for Operations Research and Computational Finance

Lehrauftrag

Bodanstrasse 6

St. Gallen, 9000

Switzerland

  • Zeppelin University, Chair of Finance

  • Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School

  • University of St. Gallen, Institute for Operations Research and Computational Finance

SCHOLARLY PAPERS

18

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4,008

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22

CROSSREF CITATIONS

6

Scholarly Papers (18)

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1.

Econometric Analysis of 15-Minute Intraday Electricity Prices

University of St.Gallen, School of Finance Research Paper No. 2015/21
Number of pages: 44 Posted: 10 Oct 2015 Last Revised: 23 Nov 2016
Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 792 (50,750)
Citation 9

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intraday electricity prices, bidding behavior, renewable energy, forecasting model

2.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, 379(2202):20190624, 2021
Number of pages: 27 Posted: 31 Dec 2019 Last Revised: 17 Sep 2021
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 783 (51,557)
Citation 6

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Intraday electricity market; Econometric modeling; 15-minute contracts; Renewable power forecasts; Merit order curve; Threshold regression

3.

Counteroffers and Price Discrimination in Mortgage Lending

Downloads 424 (111,296)

Counteroffers and Price Discrimination in Mortgage Lending

Swiss Finance Institute Research Paper No. 21-67
Number of pages: 48 Posted: 04 Oct 2021 Last Revised: 10 May 2023
Steven Ongena, Florentina Paraschiv and Endre J Reite
University of Zurich - Department of Banking and Finance, Zeppelin University, Chair of Finance and Norwegian University of Science and Technology (NTNU) - Department of International Business
Downloads 413 (113,685)

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Mortgage lending, Financial regulation, Consumer protection, digitalization, Price discrimination

Determinants of Price Discrimination and Switching Mortgage Provider Under Regulation and Digitalization

Number of pages: 52 Posted: 29 Nov 2022
Steven Ongena, Florentina Paraschiv and Endre J Reite
University of Zurich - Department of Banking and Finance, Zeppelin University, Chair of Finance and Norwegian University of Science and Technology (NTNU) - Department of International Business
Downloads 11 (926,953)

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Mortgage lending, Financial regulation, Consumer protection, Digitalization, Price discrimination

4.

A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Models

Published in Computational Economics (https://doi.org/10.1007/s10614-021-10113-w), University of St.Gallen, School of Finance Research Paper No. 2020/06
Number of pages: 58 Posted: 20 Jul 2020 Last Revised: 27 May 2021
Ranik Raaen Wahlstrøm, Florentina Paraschiv and Michael Schürle
NTNU Business School, Norwegian University of Science and Technology, Zeppelin University, Chair of Finance and University of St. Gallen - School of Finance
Downloads 321 (151,731)

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Parsimonious yield curve models, Term structure, Monetary policy decisions, Non-linear least squares, Initial values

5.

Electricity Spot and Derivatives Pricing under Market Coupling

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 41 Posted: 13 Jan 2014 Last Revised: 20 Aug 2017
Roland Füss, Steffen Mahringer, Florentina Paraschiv and Marcel Prokopczuk
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance, Zeppelin University, Chair of Finance and University of Reading - ICMA Centre
Downloads 225 (217,273)

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Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives

6.

A Space-Time Random Field Model for Electricity Forward Prices

University of St.Gallen, School of Finance Research Paper No. 2016/11
Number of pages: 41 Posted: 24 May 2016 Last Revised: 23 Nov 2016
Fred Espen Benth and Florentina Paraschiv
University of Oslo - Department of Mathematics and Zeppelin University, Chair of Finance
Downloads 216 (225,845)
Citation 2

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spatio-temporal models, price forward curves, term structure volatility, risk premia, electricity markets

7.

Modelling the Multivariate Dynamic Dependence Structure of Commodity Futures Portfolios

Journal of Commodity Markets, Vol. 6, No. 1, 66-87, 2017
Number of pages: 55 Posted: 08 Sep 2015 Last Revised: 15 Jul 2017
Matthias Aepli, Roland Füss, Tom Erik Henriksen and Florentina Paraschiv
University of St. Gallen - School of Finance, Swiss Finance Institute, NMBU School of Economics and Business and Zeppelin University, Chair of Finance
Downloads 200 (242,287)
Citation 1

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Multivariate dynamic copulas; regime-switching copulas; dynamic conditional correlation (DCC) model; forecast performance; commodity portfolio

8.

Back to the Roots of Internal Credit Risk Models: Why Do Banks’ Risk-Weighted Asset Levels Converge over Time?

Swiss Finance Institute Research Paper No. 22-33
Number of pages: 91 Posted: 20 Apr 2022 Last Revised: 22 Apr 2022
Victoria Böhnke, Steven Ongena, Florentina Paraschiv and Endre J Reite
Deutsche Bundesbank, University of Zurich - Department of Banking and Finance, Zeppelin University, Chair of Finance and Norwegian University of Science and Technology (NTNU) - Department of International Business
Downloads 188 (256,126)

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Capital regulation, credit risk, internal ratings-based approach, regulatory arbitrage, risk-weighted assets

9.

Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients

University of St. Gallen, School of Finance Research Paper No. 2016/07
Number of pages: 28 Posted: 04 Mar 2016
Florentina Paraschiv, Derek W. Bunn and Sjur Westgaard
Zeppelin University, Chair of Finance, London Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 179 (267,446)

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Quantile Regression, Dynamic Coefficients, Parametric Estimation, Electricity Prices

10.

Bankruptcy Prediction of Privately Held SMEs Using Feature Selection Methods

Number of pages: 74 Posted: 27 Aug 2021 Last Revised: 17 Apr 2023
Florentina Paraschiv, Markus Schmid and Ranik Raaen Wahlstrøm
Zeppelin University, Chair of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and NTNU Business School, Norwegian University of Science and Technology
Downloads 162 (291,393)
Citation 4

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Bankruptcy prediction, Feature selection methods, LASSO, Deep learning, Bank profitability

11.

Intraday Electricity Pricing of Night Contracts

Energies, 13(17):4501, 2020
Number of pages: 16 Posted: 16 Sep 2020 Last Revised: 07 Oct 2020
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 127 (353,698)

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Intraday electricity market, Econometric modeling, Night contracts, 15-minute contracts, Fundamentals, Renewable power forecasts

12.

Modelling the Evolution of Wind and Solar Power Infeed Forecasts

Journal of Commodity Markets
Number of pages: 28 Posted: 09 Jun 2020 Last Revised: 07 Apr 2021
Wei Li and Florentina Paraschiv
affiliation not provided to SSRN and Zeppelin University, Chair of Finance
Downloads 113 (385,187)
Citation 1

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Wind/Photovoltaic forecasting errors, intraday market, GMM, stochastic models

13.

Portfolio Stress Testing Applied to Commodity Futures

Number of pages: 37 Posted: 02 Oct 2019
Florentina Paraschiv, Stine Marie Reese and Margrethe Skjelstad
Zeppelin University, Chair of Finance, Norwegian University of Science and Technology (NTNU) - NTNU Business School and Norwegian University of Science and Technology (NTNU) - NTNU Business School
Downloads 94 (437,202)

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stress testing, commodity futures, risk measures, extreme value theory

14.

Prediction of Extreme Price Occurrences in the German Day-Ahead Electricity Market

Quantitative Finance, Vol. 16(12), 2016, University of St.Gallen, School of Finance Research Paper No. 2017/2
Number of pages: 28 Posted: 21 Dec 2016
Lars Hagfors, Hilde Kamperud, Florentina Paraschiv, Marcel Prokopczuk, Alma Sator and Sjur Westgaard
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Zeppelin University, Chair of Finance, University of Reading - ICMA Centre, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 79 (486,118)
Citation 4

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

15.

A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection

Number of pages: 26 Posted: 31 Aug 2021
Wei Li, Florentina Paraschiv and Georgios Sermpinis
affiliation not provided to SSRN, Zeppelin University, Chair of Finance and University of Glasgow
Downloads 61 (558,445)
Citation 1

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Financial risk management, Decision theory, Case-based reasoning, Credit risk, Particle swarm optimization

16.

Reporting on the Research Track on ‘Pricing and Optimization of Intraday/Day-Ahead Electricity and Futures Contracts’ Mathematics for Energy Systems Program Isaac Newton Institute

Number of pages: 9 Posted: 02 Oct 2019
Florentina Paraschiv
Zeppelin University, Chair of Finance
Downloads 42 (656,655)

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intraday price modeling, electricity forecasting, random field modeling

17.

Extreme Value Theory for Heavy Tails in Electricity Prices

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 30 Posted: 14 Jun 2016
Florentina Paraschiv, Risto Hadzi-Mishev and Dogan Keles
Zeppelin University, Chair of Finance, University of St. Gallen and Karlsruhe Institute of Technology
Downloads 2 (968,180)
Citation 1
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extreme value theory (EVT), electricity price modeling, forecasting of price quantiles, value-at-risk (VaR), price spikes

18.

On the Construction of Hourly Price Forward Curves for Electricity Prices

Posted: 30 Sep 2016 Last Revised: 01 Mar 2018
Ruediger Kiesel, Florentina Paraschiv and Audun Sætherø
University of Duisburg-Essen - Faculty of Economic Science, Zeppelin University, Chair of Finance and University of Duisburg-Essen - Faculty of Economic Science

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Hourly Price Forward Curves, modelling, electricity markets