Papers by Maria Elena De Giuli
Physica D: Nonlinear Phenomena, Sep 1, 2023
Journal of Global Optimization, Nov 3, 2017
A large part of the European natural gas imports originates from unstable regions exposed to the ... more A large part of the European natural gas imports originates from unstable regions exposed to the risk of supply failure due to economical and political reasons. This has increased the concerns on the security of supply in the European natural gas market. In this paper, we analyze the security of external supply of the Italian gas market that mainly relies on natural gas imports to cover its internal demand. To this aim, we develop an optimization problem that describes the equilibrium state of a gas supply chain where producers, mid-streamers, and final consumers exchange natural gas and liquefied natural gas. Both longterm contracts (LTCs) and spot pricing systems are considered. Mid-streamers are assumed to be exposed to the external supply risk, which is estimated with indicators that we develop starting from those already existing in the literature. In addition, we investigate different degrees of mid-streamers' flexibility by comparing a situation where mid-streamers fully satisfy the LTC volume clause ("No FLEX" assumption) to a case where the fulfillment of this volume clause is not compulsory ("FLEX" assumption). Our analysis shows that, in the "No FLEX" case, mid-streamers do not significantly change their supplying choices even when the external supply risk is considered. Under this assumption, they face significant profit losses that, instead, disappear in the "FLEX" case when mid-streamers are more flexible and B G. Oggioni
Nonlinear Analysis-real World Applications, Oct 1, 2022
RePEc: Research Papers in Economics, Nov 1, 2009
Computational Management Science, Feb 4, 2023
In order to characterize non-linear system dynamics and to generate term structures of joint dist... more In order to characterize non-linear system dynamics and to generate term structures of joint distributions, we propose a flexible and multidimensional approach, which exploits Wasserstein barycentric coordinates for histograms. We apply this methodology to study the relationships between the performance in the European market of the renewable energy sector and that of the fossil fuel energy one. Our methodology allows us to estimate the term structure of conditional joint distributions. This optimal barycentric interpolation can be interpreted as a posterior version of the joint distribution with respect to the prior contained in the past histograms history. Once the underlying dynamics mechanism among the set of variables are obtained as optimal Wasserstein barycentric coordinates, the learned dynamic rules can be used to generate term structures of joint distributions.
Computational Management Science
This paper investigates the activity of a multi-utility that uses Waste-to-Energy (WtE) and cogen... more This paper investigates the activity of a multi-utility that uses Waste-to-Energy (WtE) and cogeneration (COG) plants to provide services in the heat and in the electricity markets. We assume that it employs WtE and COG units to participate in the day-ahead and real-time electricity markets and, with the support of heat-only units, it satisfies the heat demand of local district heating areas (DHAs). We use stochastic programming to develop three linked problems that describe the sequence of the decision process regarding the operation of WtE and COG facilities: (i) the first problem considers the point of view of the multi-utility that defines the day-ahead and the real-time heat scheduling of its plants and the maximum amount of electricity that WtE and COG units can offer in the day-ahead electricity market, taking into account the uncertainty of the real-time heat demand; (ii) the second problem models the day-ahead electricity market cleared by the Power Exchange, where the elec...
Computational Management Science
In order to characterize non-linear system dynamics and to generate term structures of joint dist... more In order to characterize non-linear system dynamics and to generate term structures of joint distributions, we propose a flexible and multidimensional approach, which exploits Wasserstein barycentric coordinates for histograms. We apply this methodology to study the relationships between the performance in the European market of the renewable energy sector and that of the fossil fuel energy one. Our methodology allows us to estimate the term structure of conditional joint distributions. This optimal barycentric interpolation can be interpreted as a posterior version of the joint distribution with respect to the prior contained in the past histograms history. Once the underlying dynamics mechanism among the set of variables are obtained as optimal Wasserstein barycentric coordinates, the learned dynamic rules can be used to generate term structures of joint distributions.
Journal of the Operational Research Society, 2018
Systemic default risk is due to multiple private and/or public entities' simultaneous default. Th... more Systemic default risk is due to multiple private and/or public entities' simultaneous default. This risk has caused great concern in the recent past and its assessment is not a trivial subject. We have provided a model for systemic risk attribution in order to disentangle its different components. We have applied it to a selection of EU countries consistent with previous research. We have extracted a common EU factor and analysed the residual components related to an individual country's banking system, to the interaction between banking system and government, and to the country's and banking idiosyncratic components, as well. For this purpose, we have introduced a multivariate distribution for all the countries and the relative banks, also providing an integrated analysis. We have applied the multivariate Marshall-Olkin distribution, where the marginal probability of default for any country or bank depends on its default intensity. Risk attribution has been performed using weekly market data referred to sovereign and bank CDSs over the period 2009-2015. Our results have highlighted relevant differences between Northern and Southern EU countries, as far as risk decomposition is concerned. In Southern countries, risk is mainly concentrated in a country-banking system shock at each level. In Northern countries, the prevailing components of risk are the systemic EU shock at country level, and the idiosyncratic component at banking system level and individual bank level.
Journal of Financial Transformation, 2009
Considering the attention placed on SMEs in the new Basel Capital Accord, we propose a set of Bay... more Considering the attention placed on SMEs in the new Basel Capital Accord, we propose a set of Bayesian and classical longitudinal models to predict SME default probability, taking unobservable firm and business sector heterogeneities as well as analysts' recommendations into account. We compare this set of models in terms of forecasting performances, both in-sample and out-of-sample. Furthermore, we propose a novel financial loss function to measure the costs of an incorrect classification, including both the missed ...
In a competitive environment a proper evaluation of the financial status and performance of a fir... more In a competitive environment a proper evaluation of the financial status and performance of a firm is an important issue. Different kind and source of infor- mation should be taken into account. Among the possible solutions, we propose to use Bayesian Networks as a quantitative management tool for firm performance eval- uation. Via the use of the network we can combine accounting data with qualitative information related to industry environment, ownership, management and board com- position. Bayesian Networks allow to describe the relationship between the examined variables in an immediate way, and permit to identify, in a mouse click time scenarios that could lead to financial distress.
Studies in Classification, Data Analysis, and Knowledge Organization, 2018
In order to model and explain the dynamics of the market, different types and sources of informat... more In order to model and explain the dynamics of the market, different types and sources of information should be taken into account. We propose to use a Bayesian network as a quantitative financial tool for market signals detection. We combine and incorporate in the model, accounting, market, and sentiment data. The network is used to describe the relationships among the examined variables in an immediate way. Furthermore, it permits to identify in a mouse-click time scenario that could lead to operative signals. An application to the analysis of S&P 500 index is presented.
Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021
Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018
We represent the relationships among interest rates of the same term structure using an integrate... more We represent the relationships among interest rates of the same term structure using an integrated approach, which combines quantile regression and graphs. First, the correlation matrix estimated via the quantile regression (QR) is used to explore the inner links among interest rates with different maturity. This lets us possible to check for quantile cointegration among short and long-term interest rates and to assess the Expectations Hypothesis of the term structure. Second, we use these inner links to build the Minimum Spanning Tree (MST) and we investigate the topological role of maturities as centres of a network, in an application focusing on the European interest rates term structure in the period 2006-2017. To validate our choice, we compare the MST built upon the quantile regression to the one based on the sample correlation matrix. The results highlight that the QR exalts the prominent role of short-term interest rates; moreover, the connections among interest rates of the same term structure seem being better captured and described by our procedure rather than by the methodology relying on the estimation of the sample correlation matrix.
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Papers by Maria Elena De Giuli