Jørgen Andersen Sveinsson
Jørgen Andersen Sveinsson is a Business Intelligence consultant at BDO. In 2019 he finished his Master's thesis. "A study of the performance of value-at-risk averaging and expected shortfall averaging in the Nordic power futures market" at the Norwegian University of Science and Technology (NTNU) together with Maurits Aaløkken and supervisor Professor Sjur Westgaard.
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Articles by Jørgen Andersen Sveinsson
Performance of value-at-risk averaging in the Nordic power futures market
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.