Probabilistic load flow in systems with high wind power penetration

This paper proposes a method for solving a probabilistic load flows that takes into account the uncertainties of wind generation, but also of load and conventional systems. The method uses a combination of methods including cumulant, point estimate and convolution. Cornish Fisher expansion series are also used to find the CDF. The method is of especial application to estimate active power flows through lines

Estimation and decomposition of downside risk for portfolios with non-normal returns.

Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion. It is fast to compute and reliable for non-normal returns. In this paper, we introduce modified Expected Shortfall as a new analytical estimator for Expected Shortfall (ES), another popular measure of downside risk. We give all the necessary formulas for computing portfolio modified VaR and ES and for decomposing these risk measures into the contributions made by each of the portfolio holdings. This new methodology is shown to be very useful for analyzing the risk properties of portfolios of alternative investments.

Estimation and decomposition of downside risk for portfolios with non-normal returns.

We propose a new estimator for Expected Shortfall that uses asymptotic expansions to account for the asymmetry and heavy tails in financial returns. We provide all the necessary formulas for decomposing estimators of Value at Risk and Expected Shortfall based on asymptotic expansions and show that this new methodology is very useful for analyzing and predicting the risk properties of portfolios of alternative investments.Alternative investments; Component expected shortfall; Cornish-Fisher expansion; Downside risk; Expected shortfall; Portfolio; Risk contribution; Value at risk;