-term decisionmaking and associated risk exposure of electricity retailers in day-ahead and intraday markets. First, we develop a …-integer optimization model to investigate the trading portfolio and risk optimization problem faced by retailers. Through conditional value-at-risk … we assess retailers' profitability and risk exposure to different levels of PV self-generation by assuming different …

"Examines the multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management … This book examines risk analysis, focusing on quantifying risk and constructing probability in conjunction with real … material (extreme events and the partitioned multi-objective risk method; multi-objective decision-tree analysis; multi …

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we … of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated …