In this thesis, a new indicator is proposed to characterize the powersituation in deregulated electricity markets. A univariate extreme value model for this indicator is presented to investigate the extreme events in Norwegian power market. The demand and supply side of the power market are considered jointly. The simulation result indicates that the extreme events in the form of a price strike in 2002/3 could have a return period shorter than 10 years. Based on this result, the reliability of power supply is of some concern. Some regulatory measures would be needed to rectify this potential problem.