The rapid accumulation and persistence of interenterprise credits and arrears is a fairly common phenomenon in transition economies, posing serious policy concerns. A general equilibrium model of production chains is presented to analyze this phenomenon and provide policy implications. The model...

Electricity retailers face increasing uncertainty due to the ongoing expansion of unpredictable, distributed generation in the residential sector. We analyze how increasing levels of households' solar PV self-generation affect the short-term decisionmaking and associated risk exposure of...

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in (Detering and Packham, 2013). These measures rely on the assumption that the model used for hedging represents a complete financial market. We show that under certain conditions, in...

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...