Sjur Westgaard, Professor
Department of Industrial Economics and
Sjur Westgaard is 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 a investment portfolio manager for an insurance company, a project manager for a consultant company and as a credit analyst for an international bank. His is now a Professor at the Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management. He also has an adjunct position at UMB Business School. His main research interests include risk modelling of finance and commodity markets, in particular energy markets. At the time being he is a project manager for two research projects involving four different power companies.
1986-1989: Bachelor Construction Engineering - Østfold University College
1989-1991: Master Industrial Economics – Norwegian School of Science and Technology
1992-1993: Master Finance – Norwegian School of Business and Economics
2002-2005: Phd – Norwegian School of Science and Technology (4 essays on credit risk modelling)
Professional work experience:
1986-1991: Road construction – Statens Vegvesen. Seasonal work.
1991-1992: Operational Research / Material Planning – Royal Norwegian Airforce.
1994-1997: Portfolio Manager Bonds and FX markets - Gjensidige Investment Management.
1997-1998: Risk analyst and project manager - SAS Institute.
1998-2002: Credit Analyst – Fokus Bank.
2002-: Associate Professor Department of Industrial Economics NTNU and Adjunct Associate Professor Trondheim Business School.
· Corporate Finance
· Financial Derivatives and Real Options
· Empirical and Quantitative Methods in Finance and Commodity Markets
· Financial Modelling with VBA & Excel
· Financial Risk Management (Advanced master/Phd level courses)
· Energy Market Risk Management (Commercial courses)
· Supervision of master students within all areas of finance
· Main professional area: Empirical Analysis of Finance- and Commodity Markets
· Supervision of 5 Phd students
· Guest editor/reviewer (Journal of Energy Markets, Energy Economics, Journal of Investing, Praktisk Økonomi og Finans)
· Project manager for two energy projects with companies and the Norwegian Research Consil
o ELDEV 2008-2011. Total budget 9.5 Mill NOK
o ELCARBONRISK 2010-2014 Total budget 13.5 Mill NOK
· Research contacts: Norway, UK, Polen, Germany, Netherland, US, Australia
· Industry contacts in Norway & UK: Power and Oil/Gas Companies, Energy Exchanges, Energy Consultancy and Energy Data/Media Companies
Published work / papers in progress
Lien G., Haugom E., Veka S., Westgaard S., Solibakke P.B., 2012, Covariance estimation using high frequency data: Microstructure noise and sensitivities of estimated methods, Forthcoming Energy Economics 2012.
Veka S., Lien G., Westgaard S., Higgs H., 2012, Time varying dependency in European energy markets: An analysis of Nord Pool, EEX, and ICE energy markets, Forthcoming Journal of Energy Markets 2012
Berg T., Westgaard S., 2012, Risk reporting to the board of directors – Fields study of Norwegian banks and power companies, Forthcoming Journal of Energy Markets 2012
Bunn D., Andresen A., Chen D., Westgaard S., 2012, Modelling and forecasting electricity price risk with quantile regression, To be submitted to Operational Research
Haugom E., Westgaard S., Solibakke P.B., Lien G., 2011, Realised volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data, Energy Economics, 33, 1206-1215.
Haugom E., Westgaard S., Solibakke P.B., Lien G., 2011, Modelling day-ahead Nord Pool forward price volatility: Realised volatility versus GARCH models, International Research Journal of finance and Economics, 67, 31-45.
Westgaard S., Estenstad M., Seim M., Frydenberg S., 2011, Co-integration of ICE Gas oil and crude oil futures, Energy Economics, 33, 311-320
Sandvik S., Frydenberg S., Westgaard S., Heitman R.K., 2011, Hedge fund performance in bull and bear markets: Alpha creation and risk exposure, Journal of Investing, Spring, 1-26
Solibakke P.B., Westgaard S., Lien G., 2011, Conditional stochastic volatility model estimation and inference: Forecasting (un) conditional moments, Economics and Finance Review, 1(6), 69-93.
Haug E.G., Frydenberg S., Westgaard S., 2010, Distribution and statistical behaviour of implied volatilities, Business Valuation Review, 29,4, 186-199
Myklebust J., Tomasgard A., Westgaard S., 2010, Forecasting gas component prices with multivariate structural time series models, OPEC Energy Review, June, 82-106
3. Andresen A., Koekebakker S., Westgaard S., 2010, Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution, Journal of Energy Markets, 3,3, 1-23
No published papers
Frydenberg S., Lindset S., Westgaard S., 2008, Hedge fund return statistics 1994-2005, Journal of Investing, Spring, 7-21.
Westgaard S., Faria E., Fleten S-E., 2008, Price dynamics of natural gas components:
empirical evidence, Journal of Energy Markets, 1,3,37-68
Westgaard S., Eidet A., Frydenberg S., Grosås T.C., 2008, Investigating the capital structure of UK real estate companies, Journal of property research, March, 25, 1, 61-87
Talberg M., Winge C., Frydenberg S., Westgaard S., 2008, Capital structure across
industries, International journal of economomics and business, 15,2, July, 181-200
Helbæk M., and Westgaard S., 2008, Statistikk kort og godt, Universitetsforlaget
2007 and earlier:
Frydenberg S., Grøneng M.S., Nygård G.Ø and Westgaard S., 2006, Hedgefond – Sett i et norsk perspektiv, BETA Scandinavian Journal of Business Research 2/06
Westgaard S. ,2005, What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy, BETA Scandinavian Journal of Business Research 2/05
Westgaard S. and Wijst N., 2001, Default probabilities in a corporate bank portfolio: A logistic model approach, European Journal of Operational Research, 135, 338-349
Rystad K.M., Vestrum G. and Westgaard S., 1998, Styring av markedsrisiko i finansielle organisasjoner, Magma 1 (3), pp76-87.
Høyland K, Ranberg E., Wallace S. W., Westgaard S, 1997, Kapitalforvaltning i et livselskap, Praktisk Økonomi og ledelse, 2, pp.71-84