Khindanova, Irina; Atakhanova, Zauresh - In: Mathematical Methods of Operations Research 55 (2002) 2, pp. 225-245
High price volatility in energy markets compels the companies to adopt and implement policies for measurement and management of the energy risk. A popular measure of risk exposure is the Value at Risk (VaR). Traditional methods of estimation of VaR used by major energy companies fail to capture...
