New dynamic risk measure launched
Tool can capture the time evolution of market risk for energy and commodity-linked positions
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
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