A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil
Pedro Argento, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto and Leonardo Lima Gomes
| Year of publication: |
2022
|
|---|---|
| Authors: | Argento, Pedro ; Klotzle, Marcelo Cabus ; Pinto, Antônio Carlos Figueiredo ; Gomes, Leonardo Lima |
| Published in: |
International journal of energy sector management. - Bradford : Emerald, ISSN 1750-6239, ZDB-ID 2280261-7. - Vol. 16.2022, 3, p. 448-468
|
| Subject: | ARIMA | Correlation analysis | Derivatives | Energy sector | Financial sector | Futures | Margins | Markov model | Monte Carlo simulation | Peaks over threshold | Pricing | Risk | Risk analysis | Scenario analysis | Volatility Models | Volatilität | Volatility | Derivat | Derivative | Monte-Carlo-Simulation | Energiewirtschaft | Risikomanagement | Risk management | Risiko | Brasilien | Brazil | ARCH-Modell | ARCH model | Korrelation | Correlation | Szenariotechnik | Rohstoffderivat | Commodity derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/IJESM-02-2021-0008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013345666