Estimating the market risk of clean energy technologies companies using the expected shortfall approach

Ashis Pradhan and Aviral Tiwari

Renewable Energy, 2021, vol. 177, issue C, 95-100

Abstract: In this study, we assess and estimate the market risk of firms that use clean energy technologies in their production process by using the expected shortfall (ES) regression-based backtest approach and value at risk (VaR) method. We use the WilderHill Clean energy Index from 2001 to 2018 and jointly assess the tail distribution of the risk model. Our findings show that ES forecast results are not misleading during the financial turmoil or during the full sample period. Therefore, our findings indicate that the ES approach can be an alternative valuable diagnostic tool to VaR for the estimation of market risk for financial institutions and regulators.

Keywords: Financial crises; Clean energy; Risk management; Multi-quantile regression; Forecast validation (search for similar items in EconPapers)
JEL-codes: C32 C52 G01 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:renene:v:177:y:2021:i:c:p:95-100

DOI: 10.1016/j.renene.2021.05.134

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