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Relative Risk Measure for the Energy Market
Linnaeus University, Faculty of Technology, Department of Mathematics.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The importance of model risk has been noted and investigated by several different researchers for the last decade, especially its application in the financial market. This thesis investigates theoretical spot prices from the nordic electricity market from 2006 to 2018 and attempts to predict the day ahead prices by the use of historical data and the GARCH-model with different assumed distributions for the white noise. Further on the different Value at Risk from the models are calculated and compared with the help of a relative measure of model risk. 

Place, publisher, year, edition, pages
2018. , p. 25
National Category
Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-118788OAI: oai:DiVA.org:lnu-118788DiVA, id: diva2:1731673
Subject / course
Mathematics
Educational program
Mathematics and Modelling, Master Programme, 120 credits
Supervisors
Examiners
Available from: 2023-02-02 Created: 2023-01-27 Last updated: 2023-02-02Bibliographically approved

Open Access in DiVA

The full text will be freely available from 2100-01-01 16:19
Available from 2100-01-01 16:19

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