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Risk Management in the Energy Markets and Value-at-Risk Modelling: A Hybrid Approach
Year Of Publication: 2011
Month Of Publication: August
Pages: 41
Download Count: 11
View Count: 1813
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 1-2-2012
Publisher: Administrator
Summary
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. We evaluate commonly used benchmark models, a MC simulation approach and a Hybrid MC with Historical Simulation approach. All VaR models are empirically tested on eight spot energy commodities that trade futures contracts on NYMEX and the Spot Energy Index. A two-stage evaluation and selection process is applied, combining statistical and economic measures, to choose amongst the competing VaR models.
This document is published in The European Journal of Finance, 2013, http://dx.doi.org/10.1080/1351847X.2013.862173
Author(s)
Nomikos, Nikos Sign in to follow this author
Andriosopoulos, Kostas Sign in to follow this author
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