Electricity as a Risk Bearing Asset from a Portfolio Perspective, Studied Through the Concept of Value at Risk with a Time Varying Correlation Approach
The purpose of this thesis is to examine if, from a portfolio perspective, the Value at Risk decreases when electricity is included as an asset to a portfolio of risk bearing assets and if this could have an impact on risk hedging strategies. The portfolio standard deviation used to calculate the Value at Risk is based on a Dynamic Conditional Correlation approach providing a time dependent correl