This article proposes a simple but realistic model to co-simulate the time series of three risk factors: temperature, electricity load, and prices. In addition, the authors provide load serving entities with a quantitative analysis of an electricity price-volume joint risk; illustrate a hedging...

To evaluate complex hedging deals from a cost-efficiency perspective, this paper proposes a new hedging-effectiveness measure, the Economic Value of the Incremental Expected Shortfall (EV-IES), which summarizes the costs and benefits of a hedging strategy by taking into account firm-specific and...