Sjur Westgaard holds a MSc and PhD in Industrial Economics from Norwegian University of Science and Technology and a MSc in Finance from Norwegian School of Business and Economics. He has worked as an investment portfolio manager for an insurance company, a project manager for a consultant company, and as a credit analyst for an international bank. He is now a Professor at the Norwegian University of Science and Technology and has also an adjunct position at the Norwegian University of Life Sciences. His teaching involves managerial economics, financial accounting, corporate finance, derivatives and real options, empirical finance and financial risk management. His main research interests covers risk management of financial institutions and industry corporations. He has been a project manager for several research projects involving power companies and the Norwegian Research Council. He is one of the founders and editors of Journal of Commodity Markets and is also an associate editor in Journal of Energy Markets and a former associate editor of Journal of Banking and Finance.
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
This paper looks at the time-varying relation between electricity futures prices and fundamentals.