Alessandro Mauro

University of Geneva - Geneva School of Economics and Management

Member of the teaching faculty

Uni Mail

Bd du Pont-d'Arve 40

Geneva, 1211

Switzerland

Global Association of Risk Professionals (GARP)

NJ

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 15,493

SSRN RANKINGS

Top 15,493

in Total Papers Downloads

6,020

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Ideas:
“  Commodity exposures representation by risk drivers  ”

Scholarly Papers (14)

1.

Price Risk Management in the Energy Industry: The Value at Risk Approach

Proceedings of the XXII Annual International Conference of the International Association for Energy Economics, 9-12 June 1999
Number of pages: 10 Posted: 15 Oct 2007 Last Revised: 05 Nov 2014
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 3,766 (5,564)

Abstract:

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Value at Risk, VaR, risk management, risk measurement, energy industry, oil industry , refining industry, power generation, unbundling, commoditization, Liberalisation, interfuel competition

2.

Evaluating Portfolios in Energy Trading

Risk Professional, April 2011
Number of pages: 3 Posted: 27 Jun 2011
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 398 (139,095)

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evaluation, risk management, risk measurement, energy, oil trading, price, price discovery, mark-to-market, forward curve, price normalization, price synchronization, Value-at-Risk, VaR

3.

Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis

Number of pages: 31 Posted: 08 Nov 2011 Last Revised: 03 Nov 2014
Alessandro Mauro and Andrea Peri
University of Geneva - Geneva School of Economics and Management and British Petroleum
Downloads 308 (183,712)

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crude oil markets, refined product markets, petroleum markets, GARCH, Multivariate GARCH, MGARCH, BEKK, Cointegration, VECM, Granger causality, Weakly Exogenity, volatility transmission

4.

An Evaluation of Italian Electricity Generation Assets Using a Spark Spread Option Model

Number of pages: 11 Posted: 26 Aug 2009
Alessandro Mauro and Rosario Sgarioto
University of Geneva - Geneva School of Economics and Management and affiliation not provided to SSRN
Downloads 252 (225,558)

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spark spread, real options, Margrabe's option model, power generation, electricity markets, electricity pool, electricity assets, merchant power plant, discounted cash flow methodology

5.

La Gestione Del Rischio Di Prezzo Nella Industria Energetica (Price Risk Management in the Energy Industry)

Energia, Vol. 4, 1999
Number of pages: 8 Posted: 26 Jan 2012
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 197 (284,639)

Abstract:

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VaR, Value-at-Risk, energy industry, mark-to-market, interfuel competition, oil refining, unbundling, gas trading, power markets

6.

The Rise and Fall of OW Bunker, the World's Largest Marine Fuel Trader

GARP Risk Intelligence, 2015
Number of pages: 17 Posted: 05 Oct 2017
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 181 (306,993)

Abstract:

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Oil Energy trading, Risk Management, Derivatives, Speculation

7.

Market-Based Systems for Natural Gas Transportation in the United Kingdom

Energia, 2000
Number of pages: 11 Posted: 14 Apr 2008 Last Revised: 19 Apr 2015
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 176 (314,711)

Abstract:

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gas naturale, natural gas, gas trading, gas transportation, National Balancing Point, NBP, Interconnector, gas shipping, Network Code, entry capacity, OCM, On-the-Day Commodity Market, IPE, International Petroleum Exchange, commodity charge, nomination, System Average Price

8.

Financing Sources for a Firm: An Approach Based on Option Theory (Le Fonti Di Finanziamento Dell'Impresa Alla Luce Della Teoria Delle Opzioni)

ENI Scuola Superiore "E. Mattei" Studi, Ricerche & Documenti Series (1994-2001)
Number of pages: 47 Posted: 02 Sep 2008 Last Revised: 15 Oct 2008
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 171 (322,819)

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Options, Call Options, Put Options, Financing Sources, Black-Scholes, Enterprice Value, Guaranteed Debt, Compound Option

9.

Le Borse Delle Merci [Commodity Exchanges]

Independent Review, No. 4, 2003
Number of pages: 10 Posted: 03 Nov 2011
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 153 (354,796)
Citation 1

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commodity, exchanges, soft commodities, energy products, NYMEX, IPE, crude oil, refined oil products, natural gas, electricity,emission trading, weather derivatives

Market Risk Driver as Key Risk Indicator in Commodity Trading: A General Algorithm

Number of pages: 22 Posted: 10 Oct 2023
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 111 (456,864)

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Key risk indicator, Market risk, Risk management, Energy markets, Commodity markets, Commodity trading.

Market Risk Driver as Key Risk Indicator in Commodity Trading. A General Algorithm

Number of pages: 24 Posted: 09 Jan 2024
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 13 (1,061,742)

Abstract:

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Key risk indicator, Market risk, Risk management, Energy markets, commodity markets

11.

Il Value at Risk Per Imprese Non Finanziarie: Il Caso Dell'Industria Della Raffinazione (Value-at-Risk for Non-Financial Companies: The Oil Refining Industry)

Finanza Marketing e Produzione, Forthcoming
Number of pages: 12 Posted: 14 Jan 2012 Last Revised: 26 Jan 2012
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 89 (527,339)

Abstract:

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value-at-risk, VaR, incremental VaR, oil refining industry, crude oil, oil refined products, simple refineries, complex refineries, gross refining margin, oil price formula

12.

Creation and Transfer of Price Risk in European Energy Markets

The Professional Risk Managers' Guide to the Energy Market, PRMIA, 2007
Number of pages: 21 Posted: 10 Dec 2013
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 87 (534,700)

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Price risk, Energy prices, Crude oil, Natural gas, Coal, Electricity, intra-fuel competition, Refining margins, Decoupling, Oil-indexed prices, UK gas, Benchmarks, Energy Exchanges, Commoditization, Financialization, J.K. Arrow, Emission trading, regulatory risk

13.

Verso Il Pool Elettrico: Un Nuovo Metodo Di Valutazione Delle Centrali (Power Plants Evaluation in an Electricity Pool)

Energia, No. 1, 2002
Number of pages: 7 Posted: 26 Mar 2012
Alessandro Mauro and Rosario Sgarioto
University of Geneva - Geneva School of Economics and Management and affiliation not provided to SSRN
Downloads 62 (645,771)

Abstract:

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electricity, pool, real options, ENEL, Autorita' per l'Energia Elettrica e il Gas, CCGT, Gestore del Mercato Elettrico, Monte Carlo simulation

14.

Hit-and-Run Competition in the New Oil Market Order

GARP Risk Professional
Number of pages: 20 Posted: 13 Oct 2017
Alessandro Mauro
University of Geneva - Geneva School of Economics and Management
Downloads 56 (678,261)

Abstract:

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Oil markets, Shale oil, Contestable Market Theory, Energy