Blar i NTNU Open på forfatter "Almli, Eldar Nikolai"
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Risk Modelling in Energy Markets: A Value at Risk and Expected Shortfall Approach
Almli, Eldar Nikolai; Rege, Torstein (Master thesis, 2011)Value at risk (VaR) and Expected Shortfall (ES) are commonly used risk measures in the financial literature. They have however not been applied to a great extent on energy derivatives. This paper compares the performance ...