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Quantifying risk in the electricity business: A RAROC-based approach

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  • Prokopczuk, Marcel
  • Rachev, Svetlozar T.
  • Schindlmayr, Gero
  • Truck, Stefan

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  • Prokopczuk, Marcel & Rachev, Svetlozar T. & Schindlmayr, Gero & Truck, Stefan, 2007. "Quantifying risk in the electricity business: A RAROC-based approach," Energy Economics, Elsevier, vol. 29(5), pages 1033-1049, September.
  • Handle: RePEc:eee:eneeco:v:29:y:2007:i:5:p:1033-1049
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    References listed on IDEAS

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    3. Markus Burger & Bernhard Klar & Alfred Muller & Gero Schindlmayr, 2004. "A spot market model for pricing derivatives in electricity markets," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 109-122.
    4. Edward Zaik & John Walter & Gabriela Retting & Christopher James, 1996. "Raroc At Bank Of America: From Theory To Practice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(2), pages 83-93, June.
    5. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
    6. Unknown, 2005. "Forward," 2005 Conference: Slovenia in the EU - Challenges for Agriculture, Food Science and Rural Affairs, November 10-11, 2005, Moravske Toplice, Slovenia 183804, Slovenian Association of Agricultural Economists (DAES).
    7. Froot, Kenneth A. & Stein, Jeremy C., 1998. "Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach," Journal of Financial Economics, Elsevier, vol. 47(1), pages 55-82, January.
    8. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    9. Francis A. Longstaff & Ashley W. Wang, 2004. "Electricity Forward Prices: A High-Frequency Empirical Analysis," Journal of Finance, American Finance Association, vol. 59(4), pages 1877-1900, August.
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    Cited by:

    1. Brenda López Cabrera & Franziska Schulz, 2016. "Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management," SFB 649 Discussion Papers SFB649DP2016-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Judy Hsu & Kuo-An Li, 2013. "Performance assessments of Taiwan’s financial holding companies," Journal of Productivity Analysis, Springer, vol. 40(1), pages 137-151, August.
    3. Sen Guo & Wenyue Zhang & Xiao Gao, 2020. "Business Risk Evaluation of Electricity Retail Company in China Using a Hybrid MCDM Method," Sustainability, MDPI, vol. 12(5), pages 1-21, March.
    4. Liu, Yangyang & Jiang, Chuanwen & Shen, Jingshuang & Hu, Jiakai & Luo, Yifan, 2015. "Coordination of hydro units with wind power generation based on RAROC," Renewable Energy, Elsevier, vol. 80(C), pages 783-792.
    5. Guilherme Vitolo & Flavio Cipparrone, 2014. "Strategic Implications Of Project Portfolio Selection," Accounting & Taxation, The Institute for Business and Finance Research, vol. 6(2), pages 11-20.
    6. Li-Chang Hsu, 2014. "A hybrid multiple criteria decision-making model for investment decision making," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(3), pages 509-529, June.
    7. Guasti Lima Fabiano & Castro Junior Sant Clair de & Pimenta Júnior Tabajara & Gaio Luiz Eduardo, 2014. "Performance of the different RAROC models and their relation with the creation of economic value: A study of the largest banks operating in Brazil," Contaduría y Administración, Accounting and Management, vol. 59(4), pages 87-104, octubre-d.
    8. Alexandros Flamos, 2016. "A Sectoral Micro-Economic Approach to Scenario Selection and Development: The Case of the Greek Power Sector," Energies, MDPI, vol. 9(2), pages 1-12, January.

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