New dynamic risk measure launched

liquidityrisk

Speaking at the Energy Risk Europe conference in London, Andrea Roncoroni, professor of finance at the ESSEC Business School in Paris and Singapore, presented a new method to widen the extent of any risk measure and capture the time evolution of market risk for energy and commodity linked positions.

A 'flowing value-at-risk', or FloVaR, has been developed by Roncoroni in collaboration with Gianluca Fusai, professor of finance at Piemonte Orientale University, and Rachid Id Brik, a PhD student at

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: