Browsing by Subject "Value-at-Risk"

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Browsing by Subject "Value-at-Risk"

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    Title: Risk Management in the Energy Markets and Value-at-Risk Modelling: A hybrid approach  Author(s): ANDRIOSOPOULOS, Kostas; NOMIKOS, Nikos Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: This paper proposes a set of VaR models appropriate to capture the dynamics of energy prices and subsequently quantify energy price risk by calculating VaR and ES measures. Amongst the competing VaR methodologies evaluated ...