The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives.
Past performance of financial models is no guarantee of future success, two forthcoming papers suggest
This paper looks at hourly spot prices at the German electricity market and applies extreme value theory (EVT) to investigate the tails of the price change distribution.
This paper focuses on medium-term probabilistic forecasting for risk management purposes.
The topics in this issue cover electricity and gas and oil markets, as well as the interaction of energy commodities and international capital markets.
This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets.
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model.
Sponsored feature: Deutsche Börse
Corporate statement: Thomson Reuters
Focus on the future