This presentation recording was part of the Yes Energy hosted YesData - Fall 2020 event. David Kozak walks through his use of Monte Carlo Simulations to look at risks in power markets.
Learn more about David Kozak, Director of Quantitative Strategies at Solea Energy
You can Read David’s publications here.
An Introduction to Value at Risk (VAR) - Investopedia
Improving Your Algo Trading By Using Monte Carlo Simulation and Probability Cones - Kevin Davey
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