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Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk

Westgaard, Sjur; Århus, Gisle Hoel; Frydenberg, Marina; Frydenberg, Stein
Journal article, Peer reviewed
Published version
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URI
https://hdl.handle.net/11250/2651322
Date
2019
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  • Institutt for industriell økonomi og teknologiledelse [1899]
  • NTNU Handelshøyskolen [713]
  • Publikasjoner fra CRIStin - NTNU [19849]
Original version
Journal of Risk Model Validation. 2019, 13 (4), 43-69.   10.21314/JRMV.2019.213
Abstract
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR forecasts using one simple parametric model, one historical simulation model and one quantile regression (QR) model. We apply our models to nine different energy futures: Brent crude oil, API2 coal, UK natural gas, and three German and Nordic power futures in the period 2007–17. The models are tested at both long and short positions. Our research suggests that the QR model is easy to implement and offers accurate VaR forecasts in the European energy market.

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Publisher
Incisive Media
Journal
Journal of Risk Model Validation

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