Maurits M. Aaløkken
Maurits Aaløkken is a Business Intelligence consultant at KPMG Lighthouse, currently living in Oslo, Norway. In 2019, he finished his Master’s thesis, '"A Study of the Performance of Value-at-Risk Averaging and Expected Shortfall Averaging in the Nordic Power Futures Market", at the Department of Industrial Economics and Technology Management at NTNU, together with Jørgen Sveinsson and supervisor Professor Sjur Westgaard.
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The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.