Bivariate VaR Estimation in energy forwards – An Extreme Value Approach with Copulas and GARCH Volatility
The overall goal of this thesis is to examine the effect specific model components, GARCH, EVT and copula, have when examining the possible losses that can occur when holding a portfolio of financial energy contracts within different markets. Daily closing prices of financial monthly forward contracts from 2008-2012 are used in this study. The contracts are in the Nordic and German power markets a