Cutting edge: Modelling dependence of price spikes in Australian electricity markets

Cutting edge - Modelling dependence of price spikes in Australian electricity markets

Price spikes are of particular importance due to their severe impacts on consumers, businesses and industry. They constitute a major source of risk to market participants – for example, electricity retailers with commitments to meet customers' daily electricity demands. To those trading in several electricity markets simultaneously, the probability of simultaneous price spikes (termed as tail dependence) is of great importance when computing risks. For this purpose, the problem of