PL EN


2013 | 162 | 38-49
Article title

Validation of Market Risk on the Electric Energy Market - an IRC Approach

Content
Title variants
Languages of publication
EN
Abstracts
EN
The aim of this paper is to describe and measure risk on the Polish & German Energy Market. The risk was estimated with three types of Value-at-Risk measures: VaR, stress VaR and Incremental Risk Charge (IRC). These measures were calculated on time series of logarithmic daily rates of return of indexes from the Polish Power Exchange (POLPX) andthe European Energy Exchange (EEX) spot market. Based on time series from 01.2009 to 28.09.2012 we attempted to answer the two questions: which measure is more appropriate for risk estimation, and where the risk level is higher.
Year
Volume
162
Pages
38-49
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-a6e8e656-664a-4fad-a1d1-6b118db587a3
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