these changes on the risk profile of the sector. Our results show that the liberalization legislation significantly … increased systematic risk exposure of the sector, reducing its role as a defensive investment asset. We also show that … commodities had relatively little impact on sector returns, but this was expected as utilities can offset commodity risk in …

We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors …-diffusion spot prices with time dependent volatility, (iii) HJM-based and (iv) Lévy multifactor model with NIG distributions. Value-at-Risk … measures based on normality strongly underestimate tail risk whereas our model gives estimates that are more accurate …

We model the impact of supply and demand on risk premiums in electricity futures, using daily data for 2003-2014. The … model provides a satisfactory fit and allows for unspanned economic risk not embedded in the futures price. The spot risk … premium and forward bias implied by the model are on average large and negative but highly time-varying. Risk premiums display …

the risk-return profiles of European energy utilities over the period 1996 to 2013. Results show that, after controlling … for equity market and commodity risk factors, the EU policies which focused on liberalization and environmental objectives …' risk-reward tradeoff. Specifically, liberalization and energy efficiency policies impact financial return and volatility in …