Energy commodities

Value-at-risk methodologies for effective energy portfolio risk management. Economic Analysis and Policy 62, pp. 197-212

Research has shown that the prediction of future variance through advanced GARCH type models is essential for an effective energy portfolio risk management. Still there has been a failure to provide a clear view on the specific amount of capital that is at risk on behalf of the investor or any party directly affected by the price fluctuations of specific or multiple energy commodities.

English

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