Professor Marcel Prokopczuk

Visiting Professor in Finance

Professor Marcel Prokopczuk

Professor Marcel Prokopczuk

ICMA Centre
+44 (0118) 378 4389


Marcel is a Visiting Professor of Finance at the ICMA Centre, Henley Business School and Chair of Empirical Finance and Econometrics at Zeppelin University, Germany. He holds a PhD in Finance from the University of Mannheim, Germany and previously graduated from the University of Karlsruhe, Germany with a MSc in Business Engineering. He is a CFA charterholder and holder of the Professional Risk Manager (PRM) designation. Marcel’s main research interests are commodity markets, derivatives, and risk management.

Specialisms: Derivatives, Commodity Markets, Risk Management


Alexander, C.Prokopczuk, M. and Sumawong, A. (2013) The (de)merits of minimum-variance hedging: application to the crack spread. Energy Economics, 36. pp. 698-707. ISSN 0140-9883 doi: 10.1016/j.eneco.2012.11.016

Fanone, E., Gamba, A. and Prokopczuk, M. (2013) The case of negative day-ahead electricity prices. Energy Economics, 35. pp. 22-34. ISSN 0140-9883

Brooks, C.Prokopczuk, M. and Wu, Y. (2013) Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage. The Quarterly Review of Economics and Finance, 53 (1). pp. 73-85. ISSN 1062-9769 doi:10.1016/j.qref.2013.01.003

Prokopczuk, M., Siewert, J. B. and Vonhoff, V. (2013) Credit risk in covered bonds. Journal of Empirical Finance, 21 (1). pp. 273-290. ISSN 0927-5398 doi: 10.1016/j.jempfin.2012.12.003

Back, J., Prokopczuk, M. and Rudolf, M. (2013) Seasonality and the valuation of commodity options. Journal of Banking and Finance, 37 (2). pp. 273-290. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2012.08.025

Brooks, C. and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance. ISSN 1469-7696 (In Press)

Symeonidis, L., Prokopczuk, M.Brooks, C. and Lazar, E. (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi:10.1016/j.econmod.2012.07.016 (

Paschke, R. and Prokopczuk, M. (2012) Investing in commodity futures markets: can pricing models help? European Journal of Finance, 18 (1). pp. 59-87. ISSN 1466-4364 doi: 10.1080/1351847X.2011.601658

Prokopczuk, M. and Vonhoff, V. (2012) Risk premia in covered bond markets. Journal of Fixed Income, 22 (2). pp. 19-29. ISSN 1059-8596

Prokopczuk, M. (2011) Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets. Decisions in Economics and Finance, 34 (2). pp. 141-168. ISSN 1593-8883 doi: 10.1007/s10203-011-0111-5

Weber, M. and Prokopczuk, M. (2011) American option valuation: implied calibration of GARCH pricing models. The Journal of Futures Markets, 31 (10). pp. 971-994. ISSN 1096-9934 doi: 10.1002/fut.20496

Prokopczuk, M. (2011) Pricing and hedging in the freight futures market. Journal of Futures Markets, 31 (5). pp. 440-464. ISSN 1096-9934 doi: 10.1002/fut.20480

Paschke, R. and Prokopczuk, M. (2010) Commodity derivatives valuation with autoregressive and moving average components in the price dynamics. Journal of Banking & Finance, 34 (11). pp. 2742-2752. ISSN 0378-4266 doi:10.1016/j.jbankfin.2010.05.010

Prokopczuk, M. (2010) Intra-industry contagion effects of earnings surprises in the banking sector. Applied Financial Economics, 20 (20). pp. 1601-1613. ISSN 0960-3107 doi: 10.1080/09603107.2010.508718

Paschke, R. and Prokopczuk, M. (2009) Integrating multiple commodities in a model of stochastic price dynamics. Journal of Energy Markets, 2 (3). ISSN 1756-3607

Prokopczuk, M., Rachev, S. T., Schindlmayr, G. and Trück, S. (2007) Quantifying risk in the electricity business: a RAROC-based approach. Energy Economics, 29 (5). pp. 1033-1049. ISSN 0140-9883 doi: 10.1016/j.eneco.2006.08.006


Prokopczuk, M. (2011) Are banks’ earnings surprises contagious? In: Kolb, R. W. (ed.) Financial contagion: the viral threat to the wealth of nations. Kolb series in finance: essential perspectives. Wiley, Hoboken, New Jersey, pp. 391-396. ISBN 9780470922385

Grants and awards:

Research grant from the British Academy for the project: "Risk Premia in Commodity Markets", 2011 - 2013

Faculty Award for Outstanding Contributions to Teaching and Learning, University of Reading, 2011

Pump-priming grant from the Research Endowment Trust, University of Reading, 2010

Travel Grants from the German Research Foundation (DFG) and the German Academic Exchange Service (DAAD), 2008, 2009