Risk management in the energy markets and Value-at-Risk modelling : a hybrid approach
Kostas Andriosopoulos and Nikos Nomikos
| Year of publication: |
2015
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|---|---|
| Authors: | Andriosopoulos, Kostas ; Nomikos, Nikos K. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 7/9, p. 548-574
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| Subject: | energy markets | mean reversion jump diffusion | Value-at-Risk | hybrid Monte Carlo and historical simulation | Energiemarkt | Energy market | Risikomanagement | Risk management | Risikomaß | Risk measure | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Mean Reversion | Mean reversion | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011301233