Multi scale risk measurement in electricity market:a wavelet based value at risk approach  

作　　者：Guu Sy-Ming Lai Kin Keung 

机构地区：[1]College of Management,Yuan Ze University [2]School of Business Administration,Hunan University

出　　处：《Journal of Southeast University(English Edition)》2008年第S1期54-59,共6页东南大学学报（英文版）

基　　金：The National Social Science Foundation of China (No.07AJL005);the Foundation of City University of Hong Kong (No.9610058)

摘　　要：Value at risk (VaR) is adopted to measure the risk level in the electricity market. To estimate VaR at higher accuracy and reliability, the wavelet variance decomposed approach for value at risk estimates (WVDVaR) is proposed. Empirical studies conduct in five Australian electricity markets, which evaluate the performances of both the proposed approach and the traditional ARMA-GARCH approach using the Kupiec backtesting procedure. Experimental results suggest that the proposed approach measures electricity market risks at higher accuracy and reliability than the bench mark ARMA-GARCH approach, as indicated by the higher p values during the Kupiec backtesting procedure. In addition, the new approach also provides more insight into the risk evolution process over time and helps in adjusting VaR estimates to the time horizons that best suit investor interests. The distribution of risk according to investor preferences is shown by decomposing VaR across different time horizons. This also provides important information for the appropriate aggregation of risk measures based on investor investment preferences.Value at risk (VaR) is adopted to measure the risk level in the electricity market. To estimate VaR at higher accuracy and reliability, the wavelet variance decomposed approach for value at risk estimates (WVDVaR) is proposed. Empirical studies conduct in five Australian electricity markets, which evaluate the performances of both the proposed approach and the traditional ARMA-GARCH approach using the Kupiec backtesting procedure. Experimental results suggest that the proposed approach measures electricity ...

关 键 词：wavelet analysis value at risk risk management Australian electricity market 

分 类 号：F407.61[经济管理—产业经济]