Monte Carlo Simulations and Conditional Value-at-Risk in the Power Markets

Presentation Slides

Learn more about David Kozak, Director of Quantitative Strategies at Solea Energy

You can Read David’s publications here.

Background Research

An Introduction to Value at Risk (VAR) - Investopedia

Improving Your Algo Trading By Using Monte Carlo Simulation and Probability Cones - Kevin Davey

Learn More About Monte Carlo

What is Monte Carlo Simulation? - riskamp.com

A Gentle Introduction to Monte Carlo Sampling for Probability - Jason Brownlee

One method of Monte Carlo sampling David discusses - Example problem illustrating Monte Carlo technique: launching photons with a Gaussian laser beam distribution

Another method of Monte Carlo sampling David Discusses - Monte Carlo Comparison of the Parameter Estimation Methods for the Two-Parameter Gumbel Distribution

VAR approach in another energy world sector - Energy risk management and value at risk modeling