The Polish Power Exchange (POLPX) was started in July 2000. Investors on POLPX may participate in the Day Ahead Market (DAM, spot market), the Commodity Derivatives Market (CDM, future market), the Electricity Auctions, the Property Right Market, the Emission Allowances Market (CO₂ spot) and the Intraday Market. All these markets differ with respect to an investment horizon length and the traded commodity.

The result of the merger of the two German power exchanges in Leipzig and Frankfurt was the establishment in 2002 the European Energy Exchange AG (EEX) in Leipzig. This is one of the European trading and clearing platforms for energy and energy-related products, such as natural gas, CO₂ emission allowances and coal. The EEX consists of three sub-markets (EEX Spot Markets, EEX Power Derivatives and EEX Derivatives Markets) and one Joint Venture (EPEX Spot Market). Moreover, EEX is trying to become the leader among European Energy Exchanges assuming an active role in the development and integration process of the European market.

The aim of this paper is a comparative analysis of risk on electric energy at spot markets. In this paper we propose portfolios on electric energy spot markets based on linear daily rates of return of prices and indexes noted on POLPX and EEX from 1^st January 2009 to 24^th October 2012. We compare risk on these portfolios built independently on two markets and the portfolios of contracts from POLPX and EEX together. The analyzed portfolios are constructed based on two criteria: minimization of the Conditional Value at Risk (CVaR) with the confidence level 0.95 and maximization of the portfolio rates of return.

1. FULLTEXT: Risk Analysis on POLPX and EEX, Microsoft Office Document, 0.3MB

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