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Valid Assumptions Required: an analysis of VaR for energy markets

Author: Brett Humphreys

Source: Energy Risk | 08 Apr 2010

Categories: Market Risk, Energy Risk Management

Topics: Monte Carlo simulation, Back testing, Correlation, Value-at-risk (VAR)

VaR Series - Energy Risk - by Brett Humphreys

Over the course of ten in-depth articles, Humphreys looks at the key components of a VaR calculation, discussing aggregation, confidence levels and holding...

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Valid Assumptions Required: an analysis of VaR for energy markets

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