Value-at-Risk Measurement and Case Analysis of Electricity Consumption
Author:
Affiliation:
1. Control College of Taiyuan University of Technology,Shanxi Key Laboratory of Power System Operation,Taiyuan,China
2. State Grid Jincheng Power Supply Company,Jincheng,China
3. State Grid Power Supply Company,Taiyuan,China
Funder
Science and Technology Project of State Grid Shanxi Electric Power Co. LTD
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10294329/10294332/10294810.pdf?arnumber=10294810
Reference12 articles.
1. Improving Value-at-Risk Prediction Under Model Uncertainty
2. Comparison of Variance Covariance and Historical Simulation Methods to Calculate Value At Risk on Banking Stock Portfolio
3. Investment Risk by Parametric VaR: A Fallacy as a True Measurement[J];Aguirre;Journal of Insurance and Financial Management,2022
4. Penerapan Simulasi Monte Carlo untuk Pengukuran Value at Risk (VaR)
5. On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model
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