PL EN


2014 | 192 | 44-58
Article title

Analiza ryzyka na rynku Nord Pool Spot

Content
Title variants
Risk Analysis on the Nord Pool Spot
Languages of publication
PL
Abstracts
EN
The aim of this paper is the analysis of risk on Scandinavian energy market: Nord Pool Spot. The analysis is based on Value-at-Risk and Expected Shortfall. As the normality assumption for linear returns of prices has been rejected, the alternative distribution has been proposed: the alpha-stable distribution. The results shown that there are some differences between risks among submarkets of Nord Pool Spot. Moreover, the alpha- stable distribution better approximate real Value-at-Risk than normal one only if quantiles of order 0,05 and 0,95 are considered.
Year
Volume
192
Pages
44-58
Physical description
Contributors
References
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  • Doman M., Doman R.: Modelowanie zmienności i ryzyka. Metody ekonometrii finansowej. Wyd. Wolters Kluwer Polska Sp. z o.o., Kraków 2009.
  • Dowd K.: Beyond Value at Risk: The New Science of Risk Management. John Wiley & Sons, Chichester 1999.
  • Ganczarek-Gamrot A.: Metody stochastyczne w badaniach porównawczych wybranych rynków energii elektrycznej. Wydawnictwo Uniwersytetu Ekonomicznego, Katowice 2013.
  • Samorodnitsky G., Taqqu M.S.: Stable Non-Gaussian Random Processes. Stochastic Models with Infinite Variance. Chapman & Hall, New York 1994.
  • Trzpiot G.: O wybranych własnościach miar ryzyka. "Badania Operacyjne i Decyzje" 2004, nr 3-4, s. 95.
  • Weron A., Weron R.: Giełda energii. Centrum Informacji Rynku Energii, Wrocław 2000.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-ed80e7cd-57e3-49c3-ab6a-7d878f32ad77
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