Managing energy risk: an integrated view on power and other energy markets
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2007
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | Beschreibung für Leser Inhaltsverzeichnis Publisher description Inhaltsverzeichnis Klappentext |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke Includes bibliographical references and index |
| Beschreibung: | XIV, 302 S. zahlr. graph. Darst., Kt. |
| ISBN: | 0470029625 9780470029626 |
Internformat
MARC
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| 245 | 1 | 0 | |a Managing energy risk |b an integrated view on power and other energy markets |c Markus Burger ; Bernhard Graeber ; Gero Schindlmayr |
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2007 | |
| 300 | |a XIV, 302 S. |b zahlr. graph. Darst., Kt. | ||
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| 337 | |b n |2 rdamedia | ||
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| 500 | |a Includes bibliographical references and index | ||
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Datensatz im Suchindex
| _version_ | 1805089717243346944 |
|---|---|
| adam_text |
Contents
Foreword
x¡
Preface
x¡¡¡
1
Energy Markets
1
1.1
The oil market
4
1.1.1
Consumption, production and reserves
4
1.1.2
Crude oil trading
7
1.1.3
Refined oil products
8
1.2
The natural gas market
9
1.2.1
Consumption, production and reserves
10
1.2.2
Natural gas trading
12
1.2.3
Price formulas with oil indexation
14
1.2.4
Liquefied natural gas
15
1.3
The coal market
16
1.3.1
Consumption, production and reserves
17
1.3.2
Coal trading
18
1.3.3
Freight
22
1.3.4
Coal subsidies in Germany: BAFA-indexed
prices
23
1.4
The electricity market
23
1.4.1
Consumption and production
23
1.4.2
Electricity trading
27
1.4.3
Products in the electricity markets
28
1.4.4
Energy exchanges
33
1.5
The emissions market
37
1.5.1
Kyoto Protocol
37
1.5.2 EU
emissions trading scheme
39
1.5.3
Flexible mechanisms
42
Contents
1.5.4 Products and market
places
44
1.5.5
Emissions trading in North America
46
Energy Derivatives
47
2.1
Forwards, futures and swaps
48
2.1.1
Forward contracts
48
2.1.2
Futures contracts
51
2.1.3
Swaps
52
2.2
"Plain vanilla" options
53
2.2.1
The put-call parity and option strategies
53
2.2.2
Black's futures price model
55
2.2.3
Option pricing formulas
55
2.2.4
Hedging options: the "Greeks"
57
2.2.5
Implied volatilities and the "volatility
smile"
62
2.2.6
Swaptions
64
2.3
American and Asian options
66
2.3.1
American options
66
2.3.2
Asian options
66
2.4
Commodity bonds and loans
69
2.5
Multi-underlying options
69
2.5.1
Basket options
70
2.5.2
Spread options
72
2.5.3
Quanto
and composite options
73
2.6
Spot price options
76
2.6.1
Pricing spot price options
77
2.6.2
Caps and floors
78
2.6.3
Swing options
80
2.6.4
Virtual storage
83
Commodity Price Models
87
3.1
Forward curves and the market price of risk
88
3.1.1
Investment assets
89
3.1.2
Consumption assets and convenience
yield
89
3.1.3
Contango, backwardation and seasonality
91
3.1.4
The market price of risk
91
3.1.5
Derivatives pricing and the risk-neutral
measure
92
3.2
Commodity spot price models
95
3.2.1
Geometric Brownian motion
95
3.2.2
The one-factor Schwartz model
100
3.2.3
The Schwartz-Smith model
103
3.3
Stochastic forward curve models
108
3.3.1
One-factor forward curve models
109
3.3.2
A two-factor forward curve model 111
3.3.3
A multi-factor exponential model
112
Contents
3.4
Electricity price models
113
3.4.1
The hourly forward curve
114
3.4.2
The SMaPS model
117
3.4.3
Regime-switching model
120
3.5
Multi-commodity models
125
3.5.1
Regression analysis
125
3.5.2
Correlation analysis
128
3.5.3
Cointegration
128
3.5.4
Model building
130
131
132
132
136
143
143
145
151
155
166
166
178
184
186
196
196
197
200
201
201
202
204
205
206
208
210
212
212
215
4.7
Market models for oil, coal, and CO2 markets
215
5
Electricity Retail Products
217
5.1
Interaction of wholesale and retail markets
217
5.2
Retail products
220
5.2.1
Common full service contracts
220
5.2.2
Indexed contracts
221
4
Fundamental Market Models
4.1
Fundamental price drivers in electricity markets
4.1.1
Demand side
4.1.2
Supply side
4.1.3
Interconnections
4.2
Economic power plant dispatch
4.2.1
Thermal power plants
4.2.2
Hydro power plants
4.2.3
Optimisation methods
4.3
Methodological approaches
4.3.1
Merit order curve
4.3.2
Optimisation models
4.3.3
System dynamics
4.3.4
Game theory
4.4
Relevant system information for electricity market
modelling
4.4.1
Demand side
4.4.2
Supply side
4.4.3
Transmission system
4.4.4
Historical data for backtesting
4.4.5
Information sources
4.5
Application of electricity market models
4.6
Gas market models
4.6.1
Demand side
4.6.2
Supply side
4.6.3
Transport
4.6.4
Storage
4.6.5
Portfolio optimisation
4.6.6
Formulation of the market model
4.6.7
Application of gas market models
viii Contents
5.2.3
Partial
delivery contracts
222
5.2.4
Portfolio management
223
5.2.5
Supplementary products
224
5.3
Sourcing
225
5.3.1
Business-to-business (B2B)
226
5.3.2
Business-to-consumer (B2C)
227
5.3.3
Small accounts
227
5.3.4
Municipalities and reseller
228
228
230
231
232
235
235
237
239
240
240
241
243
243
244
249
250
250
252
253
258
261
263
264
265
266
267
269
275
275
275
A.
1.1
Linear regression
275
A.
1.2
Stationary time series and unit root
tests
277
A.
1.3
Principal component analysis
279
A.I
.4
Kalman
filtering method
279
A.
1.5
Regime-switching models
281
5.4
Load
forecasting
5.5
Risk]
premium
5.5.1
Price validity period
5.5.2
Balancing power
5.5.3
Credit risk
5.5.4
Price-volume correlation
5.5.5
Strict risk premiums
5.5.6
Hourly price profile risk
5.5.7
Volume risk
5.5.8
Operational risk
5.5.9
Risk premium summary
6
Risk Management
6.1
Market price exposure
6.1.1
Delta position
6.1.2
Variance minimising hedging
6.2
Value-at-Risk and further risk measures
6.2.1
Definition of Value-at-Risk
6.2.2
Parameters of the Value-at-Risk measure
6.2.3
Computation methods
6.2.4
Liquidity-adjusted Value-at-Risk
6.2.5
Estimating volatilities and correlations
6.2.6
Backtesting
6.2.7
Further risk measures
6.3
Credit risk
6.3.1
Legal risk
6.3.2
Quantifying credit risk
6.3.3
Credit rating
Appendices
A
Mathematical background
A.1
Econometric methods
Contents ix
A.2
Stochastic processes
283
A.2.
1
Conditional expectation and martingales
284
A.2.2 Brownian motion
284
A.2.3 Stochastic integration and
Itô's
lemma
285
A.2.4 The Feynman-Kac theorem
287
A.2.5 Monte Carlo simulation
288
Bibliography
291
Index
295
MARKUS BURGER
is Head of Risk Control at
EnBW Trading GmbH, the trading
unit of the third
largest energy supply company in Germany. He
leads the market risk measurement team with
responsibility for valuation and stochastic
modelling as well as credit risk management.
Previously, he was a analyst for interest rates
derivatives at
Landesbank Baden-Württemberg
(LBBW). He holds a Masters degree and a PhD in
mathematics from the University of Karlsruhe,
Germany. His practical involvement and research
includes stochastic modeling, risk measurement
and valuation in the energy sector.
BERNHARD GRAEBER
is Head of Methodology
and Models at EnBW Trading GmbH. His
department is responsible for the development of
load forecasting algorithms, of power plant
dispatch models and of fundamental market
models for electricity, CO2 certificates and fuels.
He studied mechanical engineering and physics at
the University of Stuttgart, Germany and at the
University of Auckland, New Zealand and holds a
PhD in energy economics from the University of
Stuttgart. He has more than
10
years of experience
in electricity market analysis and modelling.
GERO SCHINDLMAYR
is Head of Market Risk
and Valuation Models at EnBW Trading GmbH.
Before joining EnBW he worked as a quantitative
analyst for equity derivatives at Deutsche Bank
A.G. He holds a PhD in mathematics and a
Master's degree in operations research from the
RWTH Aachen, Germany and an M.Sc degree in
mathematics from Warwick University, UK. He is
co-author of a book titled Equity Derivatives:
Theory and Applications and of several papers in
the area of energy derivatives and energy risk His
main field of work includes stochastic pricing
models for electricity and gas, commodity forward
curve modelling, value-at-risk models and multi-
commodity risk. |
| adam_txt |
Contents
Foreword
x¡
Preface
x¡¡¡
1
Energy Markets
1
1.1
The oil market
4
1.1.1
Consumption, production and reserves
4
1.1.2
Crude oil trading
7
1.1.3
Refined oil products
8
1.2
The natural gas market
9
1.2.1
Consumption, production and reserves
10
1.2.2
Natural gas trading
12
1.2.3
Price formulas with oil indexation
14
1.2.4
Liquefied natural gas
15
1.3
The coal market
16
1.3.1
Consumption, production and reserves
17
1.3.2
Coal trading
18
1.3.3
Freight
22
1.3.4
Coal subsidies in Germany: BAFA-indexed
prices
23
1.4
The electricity market
23
1.4.1
Consumption and production
23
1.4.2
Electricity trading
27
1.4.3
Products in the electricity markets
28
1.4.4
Energy exchanges
33
1.5
The emissions market
37
1.5.1
Kyoto Protocol
37
1.5.2 EU
emissions trading scheme
39
1.5.3
Flexible mechanisms
42
Contents
1.5.4 Products and market
places
44
1.5.5
Emissions trading in North America
46
Energy Derivatives
47
2.1
Forwards, futures and swaps
48
2.1.1
Forward contracts
48
2.1.2
Futures contracts
51
2.1.3
Swaps
52
2.2
"Plain vanilla" options
53
2.2.1
The put-call parity and option strategies
53
2.2.2
Black's futures price model
55
2.2.3
Option pricing formulas
55
2.2.4
Hedging options: the "Greeks"
57
2.2.5
Implied volatilities and the "volatility
smile"
62
2.2.6
Swaptions
64
2.3
American and Asian options
66
2.3.1
American options
66
2.3.2
Asian options
66
2.4
Commodity bonds and loans
69
2.5
Multi-underlying options
69
2.5.1
Basket options
70
2.5.2
Spread options
72
2.5.3
Quanto
and composite options
73
2.6
Spot price options
76
2.6.1
Pricing spot price options
77
2.6.2
Caps and floors
78
2.6.3
Swing options
80
2.6.4
Virtual storage
83
Commodity Price Models
87
3.1
Forward curves and the market price of risk
88
3.1.1
Investment assets
89
3.1.2
Consumption assets and convenience
yield
89
3.1.3
Contango, backwardation and seasonality
91
3.1.4
The market price of risk
91
3.1.5
Derivatives pricing and the risk-neutral
measure
92
3.2
Commodity spot price models
95
3.2.1
Geometric Brownian motion
95
3.2.2
The one-factor Schwartz model
100
3.2.3
The Schwartz-Smith model
103
3.3
Stochastic forward curve models
108
3.3.1
One-factor forward curve models
109
3.3.2
A two-factor forward curve model 111
3.3.3
A multi-factor exponential model
112
Contents
3.4
Electricity price models
113
3.4.1
The hourly forward curve
114
3.4.2
The SMaPS model
117
3.4.3
Regime-switching model
120
3.5
Multi-commodity models
125
3.5.1
Regression analysis
125
3.5.2
Correlation analysis
128
3.5.3
Cointegration
128
3.5.4
Model building
130
131
132
132
136
143
143
145
151
155
166
166
178
184
186
196
196
197
200
201
201
202
204
205
206
208
210
212
212
215
4.7
Market models for oil, coal, and CO2 markets
215
5
Electricity Retail Products
217
5.1
Interaction of wholesale and retail markets
217
5.2
Retail products
220
5.2.1
Common full service contracts
220
5.2.2
Indexed contracts
221
4
Fundamental Market Models
4.1
Fundamental price drivers in electricity markets
4.1.1
Demand side
4.1.2
Supply side
4.1.3
Interconnections
4.2
Economic power plant dispatch
4.2.1
Thermal power plants
4.2.2
Hydro power plants
4.2.3
Optimisation methods
4.3
Methodological approaches
4.3.1
Merit order curve
4.3.2
Optimisation models
4.3.3
System dynamics
4.3.4
Game theory
4.4
Relevant system information for electricity market
modelling
4.4.1
Demand side
4.4.2
Supply side
4.4.3
Transmission system
4.4.4
Historical data for backtesting
4.4.5
Information sources
4.5
Application of electricity market models
4.6
Gas market models
4.6.1
Demand side
4.6.2
Supply side
4.6.3
Transport
4.6.4
Storage
4.6.5
Portfolio optimisation
4.6.6
Formulation of the market model
4.6.7
Application of gas market models
viii Contents
5.2.3
Partial
delivery contracts
222
5.2.4
Portfolio management
223
5.2.5
Supplementary products
224
5.3
Sourcing
225
5.3.1
Business-to-business (B2B)
226
5.3.2
Business-to-consumer (B2C)
227
5.3.3
Small accounts
227
5.3.4
Municipalities and reseller
228
228
230
231
232
235
235
237
239
240
240
241
243
243
244
249
250
250
252
253
258
261
263
264
265
266
267
269
275
275
275
A.
1.1
Linear regression
275
A.
1.2
Stationary time series and unit root
tests
277
A.
1.3
Principal component analysis
279
A.I
.4
Kalman
filtering method
279
A.
1.5
Regime-switching models
281
5.4
Load
forecasting
5.5
Risk]
premium
5.5.1
Price validity period
5.5.2
Balancing power
5.5.3
Credit risk
5.5.4
Price-volume correlation
5.5.5
Strict risk premiums
5.5.6
Hourly price profile risk
5.5.7
Volume risk
5.5.8
Operational risk
5.5.9
Risk premium summary
6
Risk Management
6.1
Market price exposure
6.1.1
Delta position
6.1.2
Variance minimising hedging
6.2
Value-at-Risk and further risk measures
6.2.1
Definition of Value-at-Risk
6.2.2
Parameters of the Value-at-Risk measure
6.2.3
Computation methods
6.2.4
Liquidity-adjusted Value-at-Risk
6.2.5
Estimating volatilities and correlations
6.2.6
Backtesting
6.2.7
Further risk measures
6.3
Credit risk
6.3.1
Legal risk
6.3.2
Quantifying credit risk
6.3.3
Credit rating
Appendices
A
Mathematical background
A.1
Econometric methods
Contents ix
A.2
Stochastic processes
283
A.2.
1
Conditional expectation and martingales
284
A.2.2 Brownian motion
284
A.2.3 Stochastic integration and
Itô's
lemma
285
A.2.4 The Feynman-Kac theorem
287
A.2.5 Monte Carlo simulation
288
Bibliography
291
Index
295
MARKUS BURGER
is Head of Risk Control at
EnBW Trading GmbH, the trading
unit of the third
largest energy supply company in Germany. He
leads the market risk measurement team with
responsibility for valuation and stochastic
modelling as well as credit risk management.
Previously, he was a analyst for interest rates
derivatives at
Landesbank Baden-Württemberg
(LBBW). He holds a Masters degree and a PhD in
mathematics from the University of Karlsruhe,
Germany. His practical involvement and research
includes stochastic modeling, risk measurement
and valuation in the energy sector.
BERNHARD GRAEBER
is Head of Methodology
and Models at EnBW Trading GmbH. His
department is responsible for the development of
load forecasting algorithms, of power plant
dispatch models and of fundamental market
models for electricity, CO2 certificates and fuels.
He studied mechanical engineering and physics at
the University of Stuttgart, Germany and at the
University of Auckland, New Zealand and holds a
PhD in energy economics from the University of
Stuttgart. He has more than
10
years of experience
in electricity market analysis and modelling.
GERO SCHINDLMAYR
is Head of Market Risk
and Valuation Models at EnBW Trading GmbH.
Before joining EnBW he worked as a quantitative
analyst for equity derivatives at Deutsche Bank
A.G. He holds a PhD in mathematics and a
Master's degree in operations research from the
RWTH Aachen, Germany and an M.Sc degree in
mathematics from Warwick University, UK. He is
co-author of a book titled Equity Derivatives:
Theory and Applications and of several papers in
the area of energy derivatives and energy risk His
main field of work includes stochastic pricing
models for electricity and gas, commodity forward
curve modelling, value-at-risk models and multi-
commodity risk. |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Burger, Markus Graeber, Bernhard 1970- Schindlmayr, Gero 1972- |
| author_GND | (DE-588)123957168 (DE-588)121046001 |
| author_facet | Burger, Markus Graeber, Bernhard 1970- Schindlmayr, Gero 1972- |
| author_role | aut aut aut |
| author_sort | Burger, Markus |
| author_variant | m b mb b g bg g s gs |
| building | Verbundindex |
| bvnumber | BV023033340 |
| callnumber-first | H - Social Science |
| callnumber-label | HD9502 |
| callnumber-raw | HD9502.A2 |
| callnumber-search | HD9502.A2 |
| callnumber-sort | HD 49502 A2 |
| callnumber-subject | HD - Industries, Land Use, Labor |
| classification_rvk | QR 530 SK 980 |
| ctrlnum | (OCoLC)255796629 (DE-599)BVBBV023033340 |
| dewey-full | 333.793/23 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 333 - Economics of land and energy |
| dewey-raw | 333.793/23 |
| dewey-search | 333.793/23 |
| dewey-sort | 3333.793 223 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV023033340 |
| illustrated | Illustrated |
| index_date | 2024-07-02T19:17:53Z |
| indexdate | 2024-07-20T09:28:20Z |
| institution | BVB |
| isbn | 0470029625 9780470029626 |
| language | English |
| lccn | 2007042797 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016237152 |
| oclc_num | 255796629 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-634 DE-19 DE-BY-UBM DE-11 DE-384 |
| owner_facet | DE-355 DE-BY-UBR DE-634 DE-19 DE-BY-UBM DE-11 DE-384 |
| physical | XIV, 302 S. zahlr. graph. Darst., Kt. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance |
| spelling | Burger, Markus Verfasser aut Managing energy risk an integrated view on power and other energy markets Markus Burger ; Bernhard Graeber ; Gero Schindlmayr Chichester [u.a.] Wiley 2007 XIV, 302 S. zahlr. graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier Wiley finance Hier auch später erschienene, unveränderte Nachdrucke Includes bibliographical references and index Energy industries Risk management Terminhandel (DE-588)4059499-3 gnd rswk-swf Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Energiemarkt (DE-588)4014712-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Energiemarkt (DE-588)4014712-5 s Finanzmathematik (DE-588)4017195-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Terminhandel (DE-588)4059499-3 s Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s Wirtschaftsmathematik (DE-588)4066472-7 s 1\p DE-604 Graeber, Bernhard 1970- Verfasser (DE-588)123957168 aut Schindlmayr, Gero 1972- Verfasser (DE-588)121046001 aut http://deposit.dnb.de/cgi-bin/dokserv?id=2984070&prov=M&dok_var=1&dok_ext=htm Beschreibung für Leser http://catdir.loc.gov/catdir/enhancements/fy0808/2007042797-t.html Inhaltsverzeichnis http://www.loc.gov/catdir/enhancements/fy0801/2007042797-d.html Publisher description Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016237152&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016237152&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Burger, Markus Graeber, Bernhard 1970- Schindlmayr, Gero 1972- Managing energy risk an integrated view on power and other energy markets Energy industries Risk management Terminhandel (DE-588)4059499-3 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Energiemarkt (DE-588)4014712-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4059499-3 (DE-588)4066472-7 (DE-588)4014712-5 (DE-588)4046834-3 (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4121590-4 |
| title | Managing energy risk an integrated view on power and other energy markets |
| title_auth | Managing energy risk an integrated view on power and other energy markets |
| title_exact_search | Managing energy risk an integrated view on power and other energy markets |
| title_exact_search_txtP | Managing energy risk an integrated view on power and other energy markets |
| title_full | Managing energy risk an integrated view on power and other energy markets Markus Burger ; Bernhard Graeber ; Gero Schindlmayr |
| title_fullStr | Managing energy risk an integrated view on power and other energy markets Markus Burger ; Bernhard Graeber ; Gero Schindlmayr |
| title_full_unstemmed | Managing energy risk an integrated view on power and other energy markets Markus Burger ; Bernhard Graeber ; Gero Schindlmayr |
| title_short | Managing energy risk |
| title_sort | managing energy risk an integrated view on power and other energy markets |
| title_sub | an integrated view on power and other energy markets |
| topic | Energy industries Risk management Terminhandel (DE-588)4059499-3 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Energiemarkt (DE-588)4014712-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Energy industries Risk management Terminhandel Wirtschaftsmathematik Energiemarkt Portfolio Selection Mathematisches Modell Finanzmathematik Risikomanagement |
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