Computing VaR of a Portfolio of Electricity Forward Contracts

Aas, Kjersti

December 01, 2003

SAMBA

• Areas: Finance, insurance and power market
• Keywords: VaR, forward contract, stochastic volatility, correlations
• Page(s): 25
• Name and number of project: 8300105
• Title: Computing VaR of a Portfolio of Electricity Forward Contracts
• Author(s): Aas, Kjersti
• Report number: SAMBA/25/03
• Published date: December 01, 2003