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VaR in risk analysis on DAM and models of volatility of variance
(Wydawnictwo Uniwersytetu Łódzkiego, 2008)The aim of this paper is to describe and measure risk on the Day Ahead Marked (DAM) of the Polish Power Exchange. In this paper downside risk measures such as Vcilue-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are ...