Valid Assumptions Required: an analysis of VaR for energy markets
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
Over the course of ten in-depth articles, Humphreys looks at the key components of a VaR calculation, discussing aggregation, confidence levels and holding periods, forward curve assumptions, historical simulations, volatility, calculating correlations and backtesting. He also weighs up the merits of different types of VaR calculations such as Monte Carlo and delta-normal VaR.
Valid Assumptions Required - the 10-part series
To read the individual articles please click on the links below.
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