Risk management and portfolio selection using \alpha-stable regime switching models

2016 ◽  
Vol 10 ◽  
pp. 549-582 ◽  
Author(s):  
Andreas Reuss ◽  
Pablo Olivares ◽  
Luis Seco ◽  
Rudi Zagst
Keyword(s):  
Risk Management ◽  
Portfolio Selection ◽  
Regime Switching ◽  
Stable Regime ◽  
Regime Switching Models ◽  
Switching Models

scholarly journals Comparison of Electricity Spot Price Modelling and Risk Management Applications

Energies ◽  
2020 ◽  
Vol 13 (18) ◽  
pp. 4698
Author(s):  
Ethem Çanakoğlu ◽  
Esra Adıyeke
Keyword(s):  
Risk Management ◽  
Regime Switching ◽  
Value At Risk ◽  
Optimization Problems ◽  
Management Tool ◽  
Conditional Value At Risk ◽  
Spot Price ◽  
Hedging Strategies ◽  
Regime Switching Models ◽  
Switching Models

In dealing with sharp changes in electricity prices, contract planning is considered as a vital risk management tool for stakeholders in deregulated power markets. In this paper, dynamics of spot prices in Turkish electricity market are analyzed, and predictive performance of several models are compared, i.e., time series models and regime-switching models. Different models for derivative pricing are proposed, and alternative portfolio optimization problems using mean-variance optimization and conditional value at risk (CVaR) are solved. Expected payoff and risk structure for different hedging strategies for a hypothetical electricity company with a given demand are analyzed. Experimental studies show that regime-switching models are able to capture electricity characteristics better than their standard counterparts. In addition, evaluations with various risk management models demonstrate that those models are highly competent in providing an effective risk control practice for electricity markets.

scholarly journals Option Pricing and Hedging for Discrete Time Regime-Switching Models

2017 ◽  
Vol 08 (08) ◽  
pp. 1005-1032 ◽  
Author(s):  
Bruno Rémillard ◽  
Alexandre Hocquard ◽  
Hugo Lamarre ◽  
Nicolas Papageorgiou
Keyword(s):  
Option Pricing ◽  
Discrete Time ◽  
Regime Switching ◽  
Regime Switching Models ◽  
Switching Models ◽  
Time Regime
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