Valid Assumptions Required: an analysis of VaR for energy markets

VaR Series - Energy Risk - by Brett Humphreys

Over the course of ten in-depth articles, Humphreys looks at the key components of a VaR calculation, discussing aggregation, confidence levels and holding periods, forward curve assumptions, historical simulations, volatility, calculating correlations and backtesting. He also weighs up the merits of different types of VaR calculations such as Monte Carlo and delta-normal VaR.

Valid Assumptions Required - the 10-part series


To read the individual articles please click on the links below.

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