Estimation of risk measures in energy portfolios using modern copula techniques

The present paper analyses the dependence structure between WTI and Brent crude oil spot log-returns using modern copula techniques. In a first step we apply several single equation models to the marginals to account for autocorrelation and volatility clustering. Second, to select both copulas and tail copulas characterising the joint dynamics between the time series we implement and evaluate newly introduced bootstrap-based goodness-of-fit tests. Based on each approach, a comprehensive backtesting is performed by simulating and comparing the risk measures Value-at-Risk and Expected Shortfall with historical values

On modeling financial risk with tail copulas

This thesis is a cumulative one, comprising three peer-reviewed and published papers. The first article studies, for the first time in the literature, the dependence of extreme events in energy markets. It is shown that adopting general copula inference techniques (applying a goodness-of-fit test for copulas to the whole support of the bivariate distribution) can be very misleading for modeling the joint tail behavior. Moreover, the advantage of tail copulas over the single tail dependence coefficients is emphasized. The objective of the second article is the modeling of stochastic tail dependence in energy and commodity markets. The essential part is the application of a newly introduced partial derivatives multiplier bootstrap goodness-of-fit test for tail copulas. The findings are then compared to a traditional copula fit. Finally, the article provides a comprehensive backtesting framework for the risk measures Value-at-Risk and Expected Shortfall. As suspected, the best tail copula model slightly outperforms the traditional copula fit. The third article develops asymptotic tests for detecting structural breaks in the tail dependence of multivariate time series. In particular, to obtain asymptotic properties, a new limit result for the sequential empirical tail copula process is derived. Moreover, an elaborated simulation study investigates the finite sample properties of the proposed testing procedures. In the observed behavior, the tests are slightly conservative combined with reasonable power properties. The study further reveals that the asymptotic behavior of the estimator based on time series residuals is the same as the one based on independent and identically distributed observations

Modelling dependence of extreme events in energy markets using tail copulas

This paper studies, for the first time, the dependence of extreme events in energy markets. Based on a large data set comprising quotes of crude oil and natural gas futures, we estimate and model large co-movements of commodity returns. To detect the presence of tail dependence we apply a new method based on the concept of tail copulas which accounts for different scenarios of joint extreme outcomes. Moreover, we show that the common practice to fit copulas to the data cannot capture the dynamics in the tail of the joint distribution and, therefore, is unsuitable for risk management purposes

CO2 laser based welding of borosilicate glass by Laser Glass Deposition

Due to its thermal and chemical resistance, borosilicate glass finds a wide range of applications in optics, chemical laboratories and in glass apparatus engineering. For the manufacturing of complex glass components, the welding of semi-finished glass products is essential. In the majority of industry, this is realized by operating gas burners in manual processes with low efficiencies. Here, laser-based processing offers the advantage of local heating with high efficiency, since borosilicate-glass has a high absorption for CO2-laser radiation. For this purpose, the welding partners are heated with the CO2-laser, while a borosilicate rod is fed under an angle into the welding zone. In this paper, the welding of borosilicate glasses in butt and 90°-angles using CO2-laser irradiation is demonstrated. Prior to the manufacturing of the weld seams with additional material and the examination via 3-point bending tests, parameter studies are performed for the welding of blind weld seams with regard to the weld seam geometry

Ablation and functionalization of flexographic printing forms using femtosecond lasers for additively manufactured polymer-optical waveguides

An efficient and low-cost approach to manufacture Opto-Mechatronic Interconnect Devices will be obligatory to handle the strongly increasing amount of data. The presented approach is based on a flexographic printing process. To adjust the transferred material the printing form is functionalized by means of laser-induced structures using an ultrashort-pulsed laser. The long-term goal is to adjust the printing result through microstructures in the printing form in order to create spatially resolved material transfer. In this work, first the ablation parameters are investigated at different repetition rates using a femtosecond laser. Further, a line structure is inserted in the material transferring areas of the printing form, which is consequently widened. Its influence on the printing result is presented. © 2020 The Authors. Published by Elsevier B.V

Large-scale CO2 laser-based sol-gel annealing of titanium dioxide on borosilicate glass

There are several ways to create optical filters on glass, such as the low-cost sol-gel coating. However, to make this process even more effective and flexible, a laser instead of a conventional furnace process was used to anneal the borosilicate glass samples. In previous studies, it was demonstrated that it is possible to generate similar refractive indices and film thicknesses with a CO2 laser as with the furnace method. In this study, TiO2-coated borosilicate glasses are annealed with a CO2 laser. In particular, the main goal is to scan a large processing area (up to 475 x 468 mm2) and to achieve process speeds comparable to those in the furnace process. Microscopic images show a homogeneous layer and an ellipsometrically determined refractive index comparable to the reference sample from the furnace (laser sample: 2.32; furnace reference: 2.20). With a suitable process setup, it is therefore possible to process glass efficiently on an industrial scale

Highlighting New Possibilities: A Comparison of SLOT and CT in the Analysis of 3D Printed Optical Elements

Novel printing techniques for optical elements produce characteristics in these optical elements which can sometimes not be resolved with classic testing or imaging methods. As highly individualized components often have a significant cost associated with them, destructive methods are unwanted. For this work, Scanning Laser Optical Tomography (SLOT) is considered to overcome these challenges and provide knowledge and data which would otherwise not be accessible. SLOT is directly compared to µCT which is often the go-to imaging modality for small, printed optics. Advantages such as the possibility to measure fluorescence with volumetric resolution are presented in this work in the application of a functionalized silicone waveguide. Interactions between the excitation light and the sample are also measured in SLOT in form of absorption. The importance of absorption is highlighted with the example of a 3D printed glass block which has light refractive layers that are invisible in µCT measurements. SLOT should be considered as a quality control tool by scientists and manufactures of printed optical elements as it has many advantages over µCT

CoScience : gemeinsam forschen und publizieren mit dem Netz

Der Arbeitsalltag von Wissenschaftlerinnen und Wissenschaftlern hat sich in den letzten Jahren dramatisch verändert. Forschen, Schreiben und Publizieren sind mittlerweile stark durch netzbasierte Anwendungen geprägt. Das digitale Zeitalter aber hat nicht nur neue technische Werkzeuge hervorgebracht, sondern auch neue Wege eröffnet, um Wissen zu generieren und zu verbreiten. Dies gilt sowohl innerhalb der akademischen Welt als auch über diese hinaus. Das Arbeiten mit dem Netz stellt unsere bisherigen etablierten wissenschaftlichen Praktiken in Frage. Forschung wird zunehmend vernetzt, kollaborativ, multimedial, trans- bzw. interdisziplinär durchgeführt. Das vorliegende Handbuch beschreibt diese sich herausbildenden wissenschaftlichen Praktiken. Ziel der Autoren war es dabei, ein praxisnahes und leicht verständliches Handbuch zu schreiben

CoScience - Gemeinsam forschen und publizieren mit dem Netz

Der Arbeitsalltag von Wissenschaftlerinnen und Wissenschaftlern hat sich in den letzten Jahren dramatisch verändert. Forschen, Schreiben und Publizieren sind mittlerweile stark durch netzbasierte Anwendungen geprägt. Das digitale Zeitalter aber hat nicht nur neue technische Werkzeuge hervorgebracht, sondern auch neue Wege eröffnet, um Wissen zu generieren und zu verbreiten. Dies gilt sowohl innerhalb der akademischen Weltals auch über diese hinaus. Das Arbeiten mit dem Netz stellt unsere bisherigen etablierten wissenschaftlichen Praktiken in Frage. Forschung wird zunehmend vernetzt, kollaborativ, multimedial, trans- bzw. interdisziplinär durchgeführt