کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
996818 936316 2006 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Energy risk management and value at risk modeling
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی مهندسی انرژی و فناوری های برق
پیش نمایش صفحه اول مقاله
Energy risk management and value at risk modeling
چکیده انگلیسی

The value of energy trades can change over time with market conditions and underlying price variables. The rise of competition and deregulation in energy markets has led to relatively free energy markets that are characterized by high price shifts. Within oil markets the volatile oil price environment after OPEC agreements in the 1970s requires a risk quantification.” Value-at-risk” has become an essential tool for this end when quantifying market risk. There are various methods for calculating value-at-risk. The methods we introduced in this paper are Historical Simulation ARMA Forecasting and Variance–Covariance based on GARCH modeling approaches. The results show that among various approaches the HSAF methodology presents more efficient results, so that if the level of confidence is 99%, the value-at-risk calculated through HSAF methodology is greater than actual price changes in almost 97.6 percent of the forecasting period.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Policy - Volume 34, Issue 18, December 2006, Pages 3367–3373
نویسندگان
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