Electricity Market Risk Measurement using Vine-Copula based Monte Carlo Simulation Model
نویسنده
چکیده
In this paper we propose a vine copula based Monte Carlo simulation model for estimating Portfolio Value at Risk. The vine copula model is introduced to analyze the complex dependence structure of different regional markets in the typical financial markets. Then we construct the vine copula based Portfolio Value at Risk model, taking into account the identified high dimensional dependence structure. Empirical studies in the Australian electricity markets show the existence of nonlinear dependence structure in Australian electricity markets. We further show that PVaR based on the model would achieve more accurate and reliable estimate.
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