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

• Authors: Alicja Ganczarek-Gamrot , Barbara Glensk , Grażyna Trzpiot
• 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.

Keywords

EN

Energy market; Risk; Risk measures

PL

Pomiar ryzyka; Rynek energetyczny; Ryzyko

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 162
• Pages: 38-49

Contributors

author

Alicja Ganczarek-Gamrot

author

Barbara Glensk

author

Grażyna Trzpiot

References

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Identifiers

ISSN

2083-8611