Using extreme value theory to evaluate conditional var for risk management in electricity markets
In a deregulated power market, generation companies attempt to maximize their profits and minimize their risks. This paper proposes a risk model for bidding strategy of generation companies based on EVT-CVaR method. Extreme Value Theory can overcome shortcomings of traditional methods in computing f...
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| Format: | Journal |
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Jurnal Teknologi, Universiti Teknologi Malaysia
2016
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| Online Access: | http://www.myjurnal.my/public/article-view.php?id=98938 |