This paper develops a novel methodology for estimating the systematic risk of individual financial transmission rights and detecting the presence of abnormal returns among these financial instruments.
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Verification and model challenges arise as volatility and margins dry up
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This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
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Capacity and renewables schemes deterring investment, say panel participants
Long-dated natural gas and power markets hit especially hard, conference told
Schemes pose threat to electricity markets and integration, firms say
Energy Risk looks at the development of the market and what may lie ahead
Over two decades, magazine has shared in industry’s highs and lows
Jitters subside as industry ponders role of trading and mark-to-market accounting
Banks have often stepped in and out of the OTC energy derivatives market. In this article from August 2001, Energy Risk reports on banks upping their activity