✦ LIBER ✦

Energy risk management and value at risk modeling

✍ Scribed by Mehdi Sadeghi; Saeed Shavvalpour

Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 197 KB
Volume: 34
Category: Article
ISSN: 0301-4215
DOI: 10.1016/j.enpol.2005.07.004

No coin nor oath required. For personal study only.

✦ Synopsis

The value of energy trades can change over time with market conditions and underlying price variables. The rise of competition and deregulation in energy markets has led to relatively free energy markets that are characterized by high price shifts. Within oil markets the volatile oil price environment after OPEC agreements in the 1970s requires a risk quantification.'' Value-at-risk'' has become an essential tool for this end when quantifying market risk. There are various methods for calculating value-at-risk. The methods we introduced in this paper are Historical Simulation ARMA Forecasting and Variance-Covariance based on GARCH modeling approaches. The results show that among various approaches the HSAF methodology presents more efficient results, so that if the level of confidence is 99%, the value-at-risk calculated through HSAF methodology is greater than actual price changes in almost 97.6 percent of the forecasting period.

📜 SIMILAR VOLUMES

Selection of Value-at-Risk models

✍ Mandira Sarma; Susan Thomas; Ajay Shah 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB

## Abstract Value‐at‐Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertak

Risk factor beta conditional value-at-ri

Risk factor beta conditional value-at-risk

✍ Andrei Semenov 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 101 KB

## Abstract We propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return

Hedging and value at risk

✍ Richard D. F. Harris; Jian Shen 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 138 KB

## Abstract In this article, it is shown that although minimum‐variance hedging unambiguously reduces the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; consequently the effectiveness of hedging in terms of value at risk (VaR) and conditional value at risk

Value-at-Risk for country risk ratings

✍ Michael McAleer; Bernardo da Veiga; Suhejla Hoti 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 403 KB

Risk management – getting properly value

Risk management – getting properly valued

✍ David Morgan 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 68 KB

Risk Management at Risk-Derivatives unde

Risk Management at Risk-Derivatives under Attack

✍ Herbert, John C. 📂 Article 📅 2008 🏛 John Wiley and Sons ⚖ 403 KB 👁 2 views