Abstract
In this paper we analyze the occurrence of extreme price change in power delivery forward and futures contracts. Our results indicate that the distribution of price changes are signifcantly fatter tailed than a normal distribution function and we discuss that risk managers in the power industry can obtained better insight in the amount of risk their companies face by applying extreme value theory.
| Original language | English |
|---|---|
| Title of host publication | Insurance Markets and Companies: Analyses and Actuarial Computations |
| Pages | 21-25 |
| Number of pages | 5 |
| Volume | 2 |
| Publication status | Published - 2011 |
Research programs
- EUR ESE 33