Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate ...
The concept of capacity credit is widely used to quantify the contribution of renewable
technologies to securing demand. This may be quantified in a number of ways; this paper
recommends the use of Effective Load ...
In the scope of a recently launched European Research Project, a team of experts from public laboratories and TSO is in charge of defining the concepts and methodological approaches to design and analyse the technical and ...
Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme ...
Recent peat failures in Ireland in the autumn of 2003 at Pollatomish, County Mayo
and Derrybrien, County Galway have focused attention on such events. However, peat
failures are not a recent phenomenon with possible ...
In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an ...