Stein Frydenberg is Associate Professor at NTNU Business School at Norwegian University of Science and Technology (NTNU). He has a Master’s degree in business economics from the Norwegian School of Economics and Business Administration and a Master’s in science from NTNU. He has worked in the armed forces, construction companies and the university sector. His work has been published in Journal of Investing, Journal of Property Research, International Journal of the Economics of Business, International Journal of Managing Projects in Business, Journal of Wealth Management, Energy Economics, OPEC Energy Review, Annals of Operations Research and Scandinavian Journal of Business Research. His current research interests include hedge fund performance, capital structure in privately held and listed companies, and risk management.
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.
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.