Value at risk (VaR) in energy markets: Effectiveness of VaR in managing energy price risk

Korkmaz, T. | Erdogan, E. | Bostanci, A.

All over the world in recent years, energy products are exposed to high price volatility due to the increasing deregulation and liberalization efforts in energy sector, imbalance of supply and demand, increasing needs of energy, storage-delivery problems and etc. Price fluctuations have negative affect on both suppliers and consumers operating in energy markets; as a result, price risk needs to be hedged. One of the effective ways of price risk hedging purposes is using VaR methods. VaR is a generally accepted method that assesses price risk in a single number by using statistical and simulati ...Daha fazlası