Huang, Dashan; Yu, Baimin; Fabozzi, Frank J.; … - In: Energy Economics 31 (2009) 4, pp. 511-518
As a benchmark for measuring market risk, value-at-risk (VaR) reduces the risk associated with any kind of asset to just a number (amount in terms of a currency), which can be well understood by regulators, board members, and other interested parties. This paper employs a new VaR approach due to...