The essence of the Value-at-Risk (VaR) and Expected Shortfall (ES) computations is estimation of low quantiles in the portfolio return distributions. Hence, the performance of market risk measurement methods depends on the quality of distributional assumptions on the underlying risk factors....

Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. However, instead of evaluating point predictions we concentrate on interval forecasts. The latter are specifically important for risk management purposes where one is more...

We investigate the forecasting power of different time series models for electricity spot prices. The models include different specifications of linear autoregressive time series with heteroscedastic noise and/or additional fundamental variables and non-linear regime-switching TAR-type models....

This paper is intended as a guide to statistical inference for loss distributions. There are three basic approaches to deriving the loss distribution in an insurance risk model: empirical, analytical, and moment based. The empirical method is based on a sufficiently smooth and accurate estimate...

This empirical paper is a continuation of our earlier work on time series forecasting of day-ahead electricity prices. Given the controversy in the literature whether to use one large model across all hours or 24 separate models, we study if the model structure (and not only the coefficients)...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -– system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable—system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...