Energy price risk:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke [u.a.]
Palgrave Macmillan
2003
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | XIV, 538 S. graph. Darst. |
| ISBN: | 1403903409 |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV023528585 | ||
| 003 | DE-604 | ||
| 005 | 20080104000000.0 | ||
| 007 | t | ||
| 008 | 030610s2003 xxkd||| |||| 00||| eng d | ||
| 020 | |a 1403903409 |9 1-4039-0340-9 | ||
| 035 | |a (OCoLC)249003409 | ||
| 035 | |a (DE-599)BVBBV023528585 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxk |c XA-GB | ||
| 049 | |a DE-521 |a DE-11 | ||
| 050 | 0 | |a HG6047.P47J36 2003 | |
| 082 | 0 | |a 333.79/068/1 21 | |
| 084 | |a QR 530 |0 (DE-625)142050: |2 rvk | ||
| 100 | 1 | |a James, Tom |d 1971- |e Verfasser |0 (DE-588)128701250 |4 aut | |
| 245 | 1 | 0 | |a Energy price risk |c Tom James |
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2003 | |
| 300 | |a XIV, 538 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Petroleum industry and trade | |
| 650 | 4 | |a Energy industries | |
| 650 | 4 | |a Commodity exchanges | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Hedging (Finance) | |
| 856 | 4 | |u http://www.loc.gov/catdir/description/hol032/2002193087.html |3 Publisher description | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016848787&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016848787 | ||
Record in the Search Index
| _version_ | 1804138173303881728 |
|---|---|
| adam_text | Contents
Foreword xi
Preface xiii
1 Risk Management 1
The Risk Matrix 1
Financial Risks 2
Basis Risk 3
Legal, Operational and Tax Risks 6
Summary 7
2 Energy Derivatives Markets: On-Exchange and Off-Exchange 8
On-Exchange and Over-the-Counter 9
Futures 10
Swaps and Options 15
Summary 24
Generally Accepted Oil Conversion Factors Used in the
Derivatives Industry 30
Generally Accepted Gas Conversions 31
Volume 31
API Gravity and Density/Volume per Tonne 32
Power and Gas Conversion Factors 32
3 Energy Futures Contracts 33
Introduction 33
Key Facts About Futures Contracts 33
Futures Options Contracts 35
Hedging in Futures Markets 36
Exchange of Futures for Physicals (EFP) and Deliveries via
Futures Markets 37
IPE (London) Brent Crude Futures Contract - Specification 44
Ipe (London) Brent Crude Options Contract - Specification 44
tvil CONTENTS
IPE (London) Gasoil Future Contract - Specification 46
IPE (London) Gasoil Options Contract - Specification 47
IPE Natural Gas Futures Contract - Specification 48
NYMEX WTI Light, Sweet Crude Oil Futures 49
WTI Light, Sweet Crude Oil Calendar Spread Options 52
NYMEX Heating Oil Futures 53
NYMEX New York Harbor Unleaded Gasoline Futures
and Options 56
NYMEX Henry Hub Natural Gas Futures and Options 58
TOCOM Tokyo Commodity Exchange Middle East
Crude Oil Futures Contract 60
TOCOM Futures Contract Specifications - Kerosene 63
TOCOM Futures Contract Specifications - Gasoline 66
Coal Futures 68
Central Appalachian Coal Futures 69
4 OTC Energy and Related Derivative Markets 72
OTC Energy Derivative Markets 72
The OTC Oil Derivatives Market 73
The Key Oil and Gas Related OTC Swaps 78
European Power and Gas Markets 81
Global Power Markets - With Developed or Developing
Derivatives Markets 81
European Gas Markets 85
European Coal Swaps (Cash Settled not Physical Settlement) 88
Weather Derivatives 91
Developments - Freight Rate Swaps (Cash Settled) 96
Derivatives Forward Curve Assessments 97
5 Options - Trading and Hedging Application Strategies 107
Volatility 108
Types of Options 110
Option Strategies for Hedging Energy Price Exposure 110
The Greeks HI
Option Strategies 113
OTC Options and Popular Structures 115
Options Trading - Volatility Trading 119
6 Energy Option Pricing - Which Models Are Used? 125
Types of Options in the Energy Markets 125
General Rules for Option Values 125
Types of Options Models Utilised in the Energy Industry 127
Option Pricing Bibliography 128
CONTENTS fviif
7 Value At Risk and Stress Testing 130
A Risk Management Scenario 130
VAR and Other Risk Measurement Methods 131
What Does VAR Do? 133
Variance/Covariance VAR 134
Historical Simulation VAR Method 135
Monte Carlo VAR Simulation (Stochastic Process) 136
VAR Recap 137
VAR to Illustrate Hedge Effectiveness 137
Stress Testing and Value-At-Risk 138
Summary 140
8 Questions to Ask When Establishing a Risk Management
or Trading Program 141
9 Management Controls 145
The Collapse of Barings 145
The Lessons of History 147
Creating a Risk Management or Trading Policy 149
Corporate Derivatives Risk Management Policy and
Procedures Document 152
Back Office Systems 153
Role of External or Internal Audit and Compliance 158
A Risk Management Review 159
The Collapse of Enron, 2001 160
10 An Eavesdropper s Guide to Hedging 164
Nine Great Sayings on Hedging Heard in the Market -
With Comments 164
Conclusion 166
11 Operational Risk 167
Key Components of Operational Risk 167
Assessing and Controlling Operational Risk 169
Gathering Information on Operational Risk 172
Operational Risk Reduction, Control and Containment 173
Summary 175
12 Derivatives Contracts Application Listing and Some
Hedging Scenario Examples 176
What is Hedging? 176
General Recap on Energy Derivatives 177
Energy Derivatives Selection Grid 177
Hedging Application Examples 178
tviiil CONTENTS
13 Risk Management Process and Policy Creation Guidelines 201
The Risk Management Process 201
Trading Controls - Position Limits 203
Some Key Guidelines for a Risk Management Policy 205
14 Applied Technical Analysis in the Energy Markets 211
What is Technical Analysis? 212
The Principles of Technical Analysis 213
The Technical Analysis Bar Chart 213
Other Types of Chart 219
Price Gaps as Price Targets 222
Fibonacci Retracement Levels 224
Mathematical Indicators 225
Moving Averages 228
Chart Patterns 228
Summary 240
15 After Enron - A Practical Guide to Credit Control and
Risk Mitigation Methods 241
The Collapse of Enron 241
Methods for Managing Credit Risk Exposure 244
Ways to Reduce Credit Risk via the ISDA Schedule 246
Collateralisation 249
Guidelines for Taking Collateral From Counterparts 250
Credit Insurance 252
The New Tool of the Trade - Credit Default Swaps (CDS) 253
The Development of the CDS Market 260
Total Return Swaps 262
Credit Risk Mitigation via Clearing Houses 263
Management Guidelines on Establishing a Credit Control
Framework 266
16 Finance in Energy 268
Credit Status in the Energy Sector 268
Financing Using Derivative Structures 276
17 OTC Derivatives Legal Risk Control and Documentation 286
The ISDA Agreement 287
The ISDA Master Agreement 287
ISDA Publications 288
Pre-Confirmations and Long-Form Confirmations 289
ISDA Documentation Processing 290
Trading Before an ISDA is Signed 293
ISDA Master Agreement Schedule 293
CONTENTS ix ¦
Step by Step Explanation of a Typical ISDA Master
Agreement Schedule Between a Trader and a Bank 294
Additional Notes 311
Proposed ISDA Changes 311
The Advent of Independent Sources of Data that can be
Applied to Replacement Value Calculations 315
Arbitration 315
18 International Accounting Standards for Derivatives 317
Introduction 317
Consolidation and Clarification of Accounting Standards
Since 2001 319
FAS 133 - Effective From 1 January 2001 in the USA 320
International Accounting Standards Board (IAS) 323
FRS 13 - UK Accounting Standards Board 327
Closing Note 328
Totem Risk 331
19 Glossary of Terms 337
Appendices
1 Example of a Risk Management Review of a Company
Using Derivatives to Hedge Oil Requirement 442
2 The Main Energy Sector and Transportation
Names/Credits Traded in the CDS Market (September 2002) 457
3 The ISDA Master Agreement 461
4 Example Derivatives Trade Confirmation Under ISDA 486
Index 000
|
| adam_txt |
Contents
Foreword xi
Preface xiii
1 Risk Management 1
The Risk Matrix 1
Financial Risks 2
Basis Risk 3
Legal, Operational and Tax Risks 6
Summary 7
2 Energy Derivatives Markets: On-Exchange and Off-Exchange 8
On-Exchange and Over-the-Counter 9
Futures 10
Swaps and Options 15
Summary 24
Generally Accepted Oil Conversion Factors Used in the
Derivatives Industry 30
Generally Accepted Gas Conversions 31
Volume 31
API Gravity and Density/Volume per Tonne 32
Power and Gas Conversion Factors 32
3 Energy Futures Contracts 33
Introduction 33
Key Facts About Futures Contracts 33
Futures Options Contracts 35
Hedging in Futures Markets 36
Exchange of Futures for Physicals (EFP) and Deliveries via
Futures Markets 37
IPE (London) Brent Crude Futures Contract - Specification 44
Ipe (London) Brent Crude Options Contract - Specification 44
tvil CONTENTS
IPE (London) Gasoil Future Contract - Specification 46
IPE (London) Gasoil Options Contract - Specification 47
IPE Natural Gas Futures Contract - Specification 48
NYMEX WTI Light, Sweet Crude Oil Futures 49
WTI Light, Sweet Crude Oil Calendar Spread Options 52
NYMEX Heating Oil Futures 53
NYMEX New York Harbor Unleaded Gasoline Futures
and Options 56
NYMEX Henry Hub Natural Gas Futures and Options 58
TOCOM Tokyo Commodity Exchange Middle East
Crude Oil Futures Contract 60
TOCOM Futures Contract Specifications - Kerosene 63
TOCOM Futures Contract Specifications - Gasoline 66
Coal Futures 68
Central Appalachian Coal Futures 69
4 OTC Energy and Related Derivative Markets 72
OTC Energy Derivative Markets 72
The OTC Oil Derivatives Market 73
The Key Oil and Gas Related OTC Swaps 78
European Power and Gas Markets 81
Global Power Markets - With Developed or Developing
Derivatives Markets 81
European Gas Markets 85
European Coal Swaps (Cash Settled not Physical Settlement) 88
Weather Derivatives 91
Developments - Freight Rate Swaps (Cash Settled) 96
Derivatives Forward Curve Assessments 97
5 Options - Trading and Hedging Application Strategies 107
Volatility 108
Types of Options 110
Option Strategies for Hedging Energy Price Exposure 110
The Greeks HI
Option Strategies 113
OTC Options and Popular Structures 115
Options Trading - Volatility Trading 119
6 Energy Option Pricing - Which Models Are Used? 125
Types of Options in the Energy Markets 125
General Rules for Option Values 125
Types of Options Models Utilised in the Energy Industry 127
Option Pricing Bibliography 128
CONTENTS fviif
7 Value At Risk and Stress Testing 130
A Risk Management Scenario 130
VAR and Other Risk Measurement Methods 131
What Does VAR Do? 133
Variance/Covariance VAR 134
Historical Simulation VAR Method 135
Monte Carlo VAR Simulation (Stochastic Process) 136
VAR Recap 137
VAR to Illustrate Hedge Effectiveness 137
Stress Testing and Value-At-Risk 138
Summary 140
8 Questions to Ask When Establishing a Risk Management
or Trading Program 141
9 Management Controls 145
The Collapse of Barings 145
The Lessons of History 147
Creating a Risk Management or Trading Policy 149
Corporate Derivatives Risk Management Policy and
Procedures Document 152
Back Office Systems 153
Role of External or Internal Audit and Compliance 158
A Risk Management Review 159
The Collapse of Enron, 2001 160
10 An Eavesdropper's Guide to Hedging 164
Nine Great Sayings on Hedging Heard in the Market -
With Comments 164
Conclusion 166
11 Operational Risk 167
Key Components of Operational Risk 167
Assessing and Controlling Operational Risk 169
Gathering Information on Operational Risk 172
Operational Risk Reduction, Control and Containment 173
Summary 175
12 Derivatives Contracts Application Listing and Some
Hedging Scenario Examples 176
What is Hedging? 176
General Recap on Energy Derivatives 177
Energy Derivatives Selection Grid 177
Hedging Application Examples 178
tviiil CONTENTS
13 Risk Management Process and Policy Creation Guidelines 201
The Risk Management Process 201
Trading Controls - Position Limits 203
Some Key Guidelines for a Risk Management Policy 205
14 Applied Technical Analysis in the Energy Markets 211
What is Technical Analysis? 212
The Principles of Technical Analysis 213
The Technical Analysis Bar Chart 213
Other Types of Chart 219
Price Gaps as Price Targets 222
Fibonacci Retracement Levels 224
Mathematical Indicators 225
Moving Averages 228
Chart Patterns 228
Summary 240
15 After Enron - A Practical Guide to Credit Control and
Risk Mitigation Methods 241
The Collapse of Enron 241
Methods for Managing Credit Risk Exposure 244
Ways to Reduce Credit Risk via the ISDA Schedule 246
Collateralisation 249
Guidelines for Taking Collateral From Counterparts 250
Credit Insurance 252
The New Tool of the Trade - Credit Default Swaps (CDS) 253
The Development of the CDS Market 260
Total Return Swaps 262
Credit Risk Mitigation via Clearing Houses 263
Management Guidelines on Establishing a Credit Control
Framework 266
16 Finance in Energy 268
Credit Status in the Energy Sector 268
Financing Using Derivative Structures 276
17 OTC Derivatives Legal Risk Control and Documentation 286
The ISDA Agreement 287
The ISDA Master Agreement 287
ISDA Publications 288
Pre-Confirmations and Long-Form Confirmations 289
ISDA Documentation Processing 290
Trading Before an ISDA is Signed 293
ISDA Master Agreement Schedule 293
CONTENTS ix ¦
Step by Step Explanation of a Typical ISDA Master
Agreement Schedule Between a Trader and a Bank 294
Additional Notes 311
Proposed ISDA Changes 311
The Advent of Independent Sources of Data that can be
Applied to Replacement Value Calculations 315
Arbitration 315
18 International Accounting Standards for Derivatives 317
Introduction 317
Consolidation and Clarification of Accounting Standards
Since 2001 319
FAS 133 - Effective From 1 January 2001 in the USA 320
International Accounting Standards Board (IAS) 323
FRS 13 - UK Accounting Standards Board 327
Closing Note 328
Totem Risk 331
19 Glossary of Terms 337
Appendices
1 Example of a Risk Management Review of a Company
Using Derivatives to Hedge Oil Requirement 442
2 The Main Energy Sector and Transportation
Names/Credits Traded in the CDS Market (September 2002) 457
3 The ISDA Master Agreement 461
4 Example Derivatives Trade Confirmation Under ISDA 486
Index 000 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | James, Tom 1971- |
| author_GND | (DE-588)128701250 |
| author_facet | James, Tom 1971- |
| author_role | aut |
| author_sort | James, Tom 1971- |
| author_variant | t j tj |
| building | Verbundindex |
| bvnumber | BV023528585 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6047 |
| callnumber-raw | HG6047.P47J36 2003 |
| callnumber-search | HG6047.P47J36 2003 |
| callnumber-sort | HG 46047 P47 J36 42003 |
| callnumber-subject | HG - Finance |
| classification_rvk | QR 530 |
| ctrlnum | (OCoLC)249003409 (DE-599)BVBBV023528585 |
| dewey-full | 333.79/068/121 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 333 - Economics of land and energy |
| dewey-raw | 333.79/068/1 21 |
| dewey-search | 333.79/068/1 21 |
| dewey-sort | 3333.79 268 11 221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01384nam a2200385zc 4500</leader><controlfield tag="001">BV023528585</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080104000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">030610s2003 xxkd||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1403903409</subfield><subfield code="9">1-4039-0340-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)249003409</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023528585</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxk</subfield><subfield code="c">XA-GB</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6047.P47J36 2003</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">333.79/068/1 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QR 530</subfield><subfield code="0">(DE-625)142050:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">James, Tom</subfield><subfield code="d">1971-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128701250</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Energy price risk</subfield><subfield code="c">Tom James</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Basingstoke [u.a.]</subfield><subfield code="b">Palgrave Macmillan</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIV, 538 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Petroleum industry and trade</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Energy industries</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Commodity exchanges</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Hedging (Finance)</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/description/hol032/2002193087.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016848787&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016848787</subfield></datafield></record></collection> |
| id | DE-604.BV023528585 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:34:32Z |
| indexdate | 2024-07-09T21:23:59Z |
| institution | BVB |
| isbn | 1403903409 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016848787 |
| oclc_num | 249003409 |
| open_access_boolean | |
| owner | DE-521 DE-11 |
| owner_facet | DE-521 DE-11 |
| physical | XIV, 538 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| spelling | James, Tom 1971- Verfasser (DE-588)128701250 aut Energy price risk Tom James Basingstoke [u.a.] Palgrave Macmillan 2003 XIV, 538 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Petroleum industry and trade Energy industries Commodity exchanges Risk management Hedging (Finance) http://www.loc.gov/catdir/description/hol032/2002193087.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016848787&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | James, Tom 1971- Energy price risk Petroleum industry and trade Energy industries Commodity exchanges Risk management Hedging (Finance) |
| title | Energy price risk |
| title_auth | Energy price risk |
| title_exact_search | Energy price risk |
| title_exact_search_txtP | Energy price risk |
| title_full | Energy price risk Tom James |
| title_fullStr | Energy price risk Tom James |
| title_full_unstemmed | Energy price risk Tom James |
| title_short | Energy price risk |
| title_sort | energy price risk |
| topic | Petroleum industry and trade Energy industries Commodity exchanges Risk management Hedging (Finance) |
| topic_facet | Petroleum industry and trade Energy industries Commodity exchanges Risk management Hedging (Finance) |
| url | http://www.loc.gov/catdir/description/hol032/2002193087.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016848787&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT jamestom energypricerisk |