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

• Autorzy: Alicja Ganczarek-Gamrot , Barbara Glensk , Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

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.(original abstract)

Słowa kluczowe

EN

Risk; Energy market; Risk measures

PL

Ryzyko; Rynek energetyczny; Pomiar ryzyka

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Numer: nr 162 Wielowymiarowe modelowanie i analiza ryzyka
• Strony: 38--49

Twórcy

autor

Alicja Ganczarek-Gamrot

• Uniwersytet Ekonomiczny w Katowicach

autor

Barbara Glensk

• RWTH Aachen University

autor

Grażyna Trzpiot

• Uniwersytet Ekonomiczny w Katowicach

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