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- W2913376617 abstract "The article presents several methodologies to derive point risk forecasts for the natural gas market.Over the sample period 2012-2016, the daily option-implied value-at-risk (VaR) and conditional value-at-risk (CVaR) are extracted from the time series of fixed-term future contracts and the options written on them. The use of derivative data makes the resulting risk metrics forward-looking by construction and the absence of modelling assumptions allows to overcome the elicitability issue linked to the CVaR. As an alternative risk metric in low liquidity periods, the daily 2012-2016 hybrid VaR and CVaR are derived from future prices only. Even though the resulting estimates are still forward-looking, this methodology requires the specification of a model for the underlying dynamics.Based onto the backtesting results, all the proposed risk forecasts are accurate, thus allowing to model the intrinsic features of the natural gas in a consistent way." @default.
- W2913376617 created "2019-02-21" @default.
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- W2913376617 date "2017-06-22" @default.
- W2913376617 modified "2023-09-26" @default.
- W2913376617 title "Risk Management in the Natural Gas Market" @default.
- W2913376617 hasPublicationYear "2017" @default.
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