Validation of Market Risk on the Electric Energy Market - an IRC Approach

• Autorzy: Alicja Ganczarek-Gamrot , Barbara Glensk , Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to describe and measure risk on the Polish & German Energy Market. The risk was estimated with three types of Value-at-Risk measures: VaR, stress VaR and Incremental Risk Charge (IRC). These measures were calculated on time series of logarithmic daily rates of return of indexes from the Polish Power Exchange (POLPX) andthe European Energy Exchange (EEX) spot market. Based on time series from 01.2009 to 28.09.2012 we attempted to answer the two questions: which measure is more appropriate for risk estimation, and where the risk level is higher.(original abstract)

Słowa kluczowe

PL

Ryzyko; Rynek energetyczny; Pomiar ryzyka

EN

Risk; Energy market; Risk measures

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Numer: nr 162 Wielowymiarowe modelowanie i analiza ryzyka
• Strony: 38-49

Twórcy

autor

Alicja Ganczarek-Gamrot

• Uniwersytet Ekonomiczny w Katowicach

autor

Barbara Glensk

• RWTH Aachen University

autor

Grażyna Trzpiot

• Uniwersytet Ekonomiczny w Katowicach

Bibliografia

• Alexander G.J., Baptista A.M., Yan S. (2012): When More is Less: Using Multiple Constrains to Reduce Tail Risk. "Journal of Banking & Finance", No. 36.
• Basel Committee on Banking Supervision (2009): Guidelines for Computing Capitalfor Incremental Risk in the Trading Book, July.
• Basel Committee on Banking Supervision (2011): Revisions to the Basel II MarketRisk Framework, February.
• Blanco C. (1998): Value at Risk for Energy: Is VaR Useful to Manage Energy Price Risk? "Financial Engineering Associates".
• Blanco C., Oks M. (2004): Backtesting VaR Models: Quantitative and Qualitative Tests. "The Risk Desk", Vol. IV, No. 1.
• Colon T., Cotter J. (2012): Downside Risk and the Energy Hedger's Horizon. "Energy Economics" (in press).
• Jajuga K., Jajuga T. (1998): Inwestycje. Instrumenty finansowe. Ryzyko finansowe. "Inżynieria finansowa", Warszawa.
• Kupiec P. (1995): Techniques for Verifying the Accuracy of Risk Management Models. "Journal of Derivatives", No. 2.
• Pflug G.Ch. (2000): Some Remarks on the Value-at-risk and the Conditional Value-at risk. In: Probabilistic Constrained Optimization: Methodology and Applications. Ed. S. Uryasev, Kulwer.
• Rockafellar R.T., Uryasev S. (2000): Optimization of Conditional Value-at-Risk. "Journal of Risk", No. 2.
• Tarczyński W. (1997): Rynki Kapitałowe. Metody Ilościowe. PLACET, Warszawa.
• Tarczyński W. (2003): Instrumenty pochodne na rynku kapitałowym. PWE, Warszawa.
• Trzpiot G., Ganczarek A. (2003): Risk on Polish Energy Market. In: Dynamics Econometrics Models. University Nicolas Copernicus, Torun.
• Weron A., Weron R. (2000): Giełda Energii. Strategie zarządzania ryzykiem. Wrocław.
• Wilkens S., Brunac J-B., Chorniy V. (2011): IRC and CRM: Modelling Framework for the "Basel 2.5" Risk Measures.
• [WWW1] Kubalek J.: Stress-testing as part of SAS Enterproce Risk Management Concept, EMEA, http://start5g.orh.net/~prima/prezentacje/16.03.2010AdvancedStress.pdf