Parametric model risk and power plant valuation
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- 作者：Karl Bannö ; r
- 关键词：Power plant valuation ; Parametric model risk ; Spikes ; Energy markets ; Spark spread option
- 刊名：Energy Economics
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：59
- 期：Complete
- 页码：423-434
- 全文大小：1407 K
文摘
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- <p id="p0010">We present a method to analyse parametric model risk in energy markets.p>
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- <p id="p0015">We analyse model risk for a gas-fired power plant in terms of the corresponding clean spark spread options.p>
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- <p id="p0020">We identify jump risk as the dominant source of parametric model risk and determine its magnitude.p>