Risk management in the energy markets and Value-at-Risk modelling : a hybrid approach
Year of publication: |
2015
|
---|---|
Authors: | Andriosopoulos, Kostas ; Nomikos, Nikos K. |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 7/9, p. 548-574
|
Subject: | energy markets | mean reversion jump diffusion | Value-at-Risk | hybrid Monte Carlo and historical simulation | Risikomanagement | Risk management | Risikomaß | Risk measure | Energiemarkt | Energy market | Theorie | Theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection |
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