Managing Energy Risk : An Integrated View on Power and Other Energy Markets.
Title:
Managing Energy Risk : An Integrated View on Power and Other Energy Markets.
Author:
Burger, Markus.
ISBN:
9781118618585
Personal Author:
Edition:
2nd ed.
Physical Description:
1 online resource (451 pages)
Series:
The Wiley Finance Series
Contents:
Managing Energy Risk -- Contents -- Preface -- Acknowledgements -- 1 Energy Markets -- 1.1 Energy Trading -- 1.1.1 Spot Market -- 1.1.2 Forwards and Futures -- 1.1.3 Commodity Swaps -- 1.1.4 Options -- 1.1.5 Delivery Terms -- 1.2 The Oil Market -- 1.2.1 Consumption, Production and Reserves -- 1.2.2 Crude Oil Trading -- 1.2.3 Refined Oil Products -- 1.3 The Natural Gas Market -- 1.3.1 Consumption, Production and Reserves -- 1.3.2 Natural Gas Trading -- 1.3.3 Liquefied Natural Gas -- 1.4 The Coal Market -- 1.4.1 Consumption, Production and Reserves -- 1.4.2 Coal Trading -- 1.4.3 Freight -- 1.5 The Electricity Market -- 1.5.1 Consumption and Production -- 1.5.2 Electricity Trading -- 1.5.3 Electricity Exchanges -- 1.6 The Emissions Market -- 1.6.1 Kyoto Protocol -- 1.6.2 EU Emissions Trading Scheme -- 1.6.3 Flexible Mechanisms -- 1.6.4 Products and Marketplaces -- 1.6.5 Other Emissions Trading Schemes -- 2 Renewable Energy -- 2.1 The Role of Renewable Energy in Electricity Generation -- 2.1.1 Historical Development -- 2.1.2 Political Targets -- 2.1.3 Forecasts -- 2.2 The Role of Liquid Biofuels in the Transportation Sector -- 2.3 Renewable Energy Technologies -- 2.3.1 Hydropower -- 2.3.2 Wind Power -- 2.3.3 Solar Energy -- 2.3.4 Geothermal Energy -- 2.3.5 Bioenergy -- 2.3.6 Not Widespread Renewable Energies -- 2.4 Support Schemes for Renewable Energy -- 2.4.1 Feed-In Tariffs -- 2.4.2 Net Metering -- 2.4.3 Electric Utility Quota Obligations and Tradable Certificates -- 2.4.4 Auctions -- 2.4.5 Subsidies, Investment Grants and Tax Benefits -- 2.5 Key Economic Factors of Renewable Energy Projects -- 2.5.1 The Project Developer's Perspective -- 2.5.2 The Project Investor's Perspective -- 2.6 Risks in Renewable Energy Projects and their Mitigation -- 2.6.1 Project Development Risks -- 2.6.2 Construction Risks -- 2.6.3 Resource Risks.
2.6.4 Technical Risks -- 2.6.5 Market Risks -- 2.6.6 Regulatory Risks -- 2.6.7 Other Operational Risks -- 3 Risk Management -- 3.1 Governance Principles and Market Regulation -- 3.2 Market Risk -- 3.2.1 Delta Position -- 3.2.2 Variance Minimising Hedging -- 3.2.3 Value-at-Risk -- 3.2.4 Estimating Volatilities and Correlations -- 3.2.5 Backtesting -- 3.2.6 Liquidity-Adjusted Value-at-Risk -- 3.2.7 Profit-at-Risk and Further Risk Measures -- 3.3 Legal Risk -- 3.4 Credit Risk -- 3.4.1 Credit Rating -- 3.4.2 Quantifying Credit Risk -- 3.5 Liquidity Risk -- 3.6 Operational Risk -- 4 Retail Markets -- 4.1 Interaction of Wholesale and Retail Markets -- 4.2 Retail Products -- 4.2.1 Fixed-Price Contracts -- 4.2.2 Indexed Contracts -- 4.2.3 Full Service Contracts -- 4.2.4 Partial Delivery Contracts -- 4.2.5 Portfolio Management -- 4.2.6 Supplementary Products -- 4.3 Sourcing -- 4.3.1 Sourcing Fixed-Price Contracts -- 4.3.2 Sourcing Indexed Contracts -- 4.3.3 Sourcing B2C Contracts -- 4.4 Load Forecasting -- 4.5 Weather Risk in Gas Retail Markets -- 4.5.1 Weather Derivatives -- 4.6 Risk Premiums -- 4.6.1 Risk-Adjusted Return on Capital -- 4.6.2 Price Validity Period -- 4.6.3 Structuring Fee and Balancing Energy -- 4.6.4 Credit Risk -- 4.6.5 Volume and Price Profile Risk -- 4.6.6 Operational Risk -- 4.6.7 Risk Premium Summary -- 5 Energy Derivatives -- 5.1 Forwards, Futures and Swaps -- 5.1.1 Forward Contracts -- 5.1.2 Futures Contracts -- 5.1.3 Swaps -- 5.2 Commodity Forward Curves -- 5.2.1 Investment Assets -- 5.2.2 Consumption Assets and Convenience Yield -- 5.2.3 The Market Price of Risk -- 5.3 "Plain Vanilla" Options -- 5.3.1 The Put-Call Parity and Option Strategies -- 5.3.2 Black's Futures Price Model -- 5.3.3 Option Pricing Formulas -- 5.3.4 Hedging Options: The "Greeks" -- 5.3.5 Implied Volatilities and the "Volatility Smile" -- 5.3.6 Swaptions.
5.4 American, Bermudan and Asian Options -- 5.4.1 American and Bermudan Options -- 5.4.2 Asian Options -- 5.5 Multi-Underlying Options -- 5.5.1 Basket Options -- 5.5.2 Spread Options -- 5.5.3 Quanto and Composite Options -- 5.6 Modelling Spot Prices -- 5.6.1 Pricing Spot Price Options -- 5.6.2 Geometric Brownian Motion as Spot Price Model -- 5.6.3 The One-Factor Schwartz Model -- 5.6.4 The Schwartz-Smith Model -- 5.7 Stochastic Forward Curve Models -- 5.7.1 One-Factor Forward Curve Models -- 5.7.2 A Two-Factor Forward Curve Model -- 5.7.3 A Multi-Factor Exponential Model -- 6 Stochastic Models for Electricity and Gas -- 6.1 Daily and Hourly Forward Curve Models -- 6.1.1 Daily Price Forward Curve for Gas -- 6.1.2 Hourly Price Forward Curve for Electricity -- 6.2 Structural Electricity Price Models -- 6.2.1 The SMaPS Model -- 6.2.2 The Multi-Commodity SMaPS model -- 6.2.3 Regime-Switching Models -- 6.2.4 Virtual Power Plants -- 6.3 Structural Gas Price Models -- 6.3.1 Natural Gas Price Models -- 6.3.2 Swing Options and Gas Storage -- 6.3.3 Least-Squares Monte Carlo Method -- 7 Fundamental Market Models -- 7.1 Fundamental Price Drivers in Electricity Markets -- 7.1.1 Demand Side -- 7.1.2 Supply Side -- 7.1.3 Interconnections -- 7.2 Economic Power Plant Dispatch -- 7.2.1 Thermal Power Plants -- 7.2.2 Hydropower Plants -- 7.2.3 Optimisation Methods -- 7.3 Methodological Approaches -- 7.3.1 Merit Order Curve -- 7.3.2 Optimisation Models -- 7.3.3 System Dynamics -- 7.3.4 Game Theory -- 7.4 Relevant System Information for Electricity Market Modelling -- 7.4.1 Demand Side -- 7.4.2 Supply Side -- 7.4.3 Transmission System -- 7.4.4 Historical Data for Backtesting -- 7.4.5 Information Sources -- 7.5 Application of Electricity Market Models -- 7.6 Gas Market Models -- 7.6.1 Demand Side -- 7.6.2 Supply Side -- 7.6.3 Transport -- 7.6.4 Storage.
7.6.5 Portfolio Optimisation -- 7.6.6 Formulation of the Market Model -- 7.6.7 Application of Gas Market Models -- 7.7 Market Models for Oil, Coal and CO Markets -- 7.8 Asset Investment Decisions -- 7.8.1 The Discounted Cashflow Method -- 7.8.2 Weighted Average Cost of Capital -- 7.8.3 The Capital Asset Pricing Model -- Appendix Mathematical Background -- A.1 Econometric Methods -- A.1.1 Linear Regression -- A.1.2 Stationary Time Series and Unit Root Tests -- A.1.3 Principal Component Analysis -- A.1.4 Kalman Filtering Method -- A.1.5 Regime-Switching Models -- A.2 Stochastic Processes -- A.2.1 Conditional Expectation and Martingales -- A.2.2 Brownian Motion -- A.2.3 Stochastic Integration and Itô's Lemma -- A.3 Option Pricing Theory -- A.3.1 Pricing Under the Risk-Neutral Measure -- A.3.2 The Feynman-Kac Theorem -- A.3.3 Monte Carlo Simulation -- References -- Index -- EULA.
Abstract:
An overview of today's energy markets from a multi-commodity perspective As global warming takes center stage in the public and private sectors, new debates on the future of energy markets and electricity generation have emerged around the world. The Second Edition of Managing Energy Risk has been updated to reflect the latest products, approaches, and energy market evolution. A full 30% of the content accounts for changes that have occurred since the publication of the first edition. Practitioners will appreciate this contemporary approach to energy and the comprehensive information on recent market influences. A new chapter is devoted to the growing importance of renewable energy sources, related subsidy schemes and their impact on energy markets. Carbon emissions certificates, post-Fukushima market shifts, and improvements in renewable energy generation are all included. Further, due to the unprecedented growth in shale gas production in recent years, a significant amount of material on gas markets has been added in this edition. Managing Energy Risk is now a complete guide to both gas and electricity markets, and gas-specific models like gas storage and swing contracts are given their due. The unique, practical approach to energy trading includes a comprehensive explanation of the interactions and relations between all energy commodities. Thoroughly revised to reflect recent changes in renewable energy, impacts of the financial crisis, and market fluctuations in the wake of Fukushima Emphasizes both electricity and gas, with all-new gas valuation models and a thorough description of the gas market Written by a team of authors with theoretical and practical expertise, blending mathematical finance and technical optimization Covers developments in the European Union Emissions Trading Scheme, as well as coal, oil, natural gas, and renewables The
latest developments in gas and power markets have demonstrated the growing importance of energy risk management for utility companies and energy intensive industry. By combining energy economics models and financial engineering, Managing Energy Risk delivers a balanced perspective that captures the nuances in the exciting world of energy.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Subject Term:
Genre:
Electronic Access:
Click to View