The professional risk managers' guide to the energy market:
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY [u.a.]
McGraw-Hill
2008
|
| Schriftenreihe: | PRMIA risk management series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXI, 467 S. graph. Darst., Kt. |
| ISBN: | 0071546510 9780071546515 |
Internformat
MARC
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| 245 | 1 | 0 | |a The professional risk managers' guide to the energy market |c ed. by Peter C. Fusaro |
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Datensatz im Suchindex
| _version_ | 1804143312961011712 |
|---|---|
| adam_text | CONTENTS
DEDICATION v
ABOUT THE CONTRIBUTORS xvii
Chapter 1
Introduction to Energy Financial Risk Management 1
Introduction 1
Energy is an Immature Financial Market 3
The Market Drivers of Energy Trading 3
Organization of this Book 5
Chapter 2
Energy Futures Today 7
Introduction 7
Futures: Where s the Risk? 8
Risk Premiums 10
The New Market Fundamentals 11
The Future of Energy Futures 14
Notes 16
Chapter 3
Overview of the Over-the-Counter Energy Derivatives Market 17
Introduction 17
Overview of Energy Markets 18
OTC Trading 20
OTC Instruments 22
The Convergence of OTC and Futures 24
Futures Contracts Settlement on Expiry 24
Settlement of Swaps Contracts on Expiry 25
Where Have OTC Trading and Clearing Platform Progression
Left the Market? 28
vii
viii Contents
A Short History of Energy Trading 28
Conclusions 30
Note 30
Chapter 4
Energy Derivatives Structures 31
Risk and Risk Management Themes 31
Market Risk Exposure 33
Basic Derivatives Instruments 35
Derivatives Packages 42
Structuring and Derivatives Structures 46
Reference 50
Chapter 5
The Nordic Electricity Markets 51
Introduction 51
The Nordic Electricity Market 51
History and Development of the Nordic Electricity Market 55
Nord Pool Spot: The Physical Day-Ahead Market 56
Determination of Day-Ahead Market Clearing Prices 56
Area Prices and Market Characteristics 57
Settlement 59
The Electricity Derivatives Market: Nord Pool Financial Market 60
Counterparty Risk 62
The Emissions Market: Nord Pool Carbon Dioxide Allowance Market 63
Conclusions 65
Chapter 6
Market Risk Measurement and Management for Energy Firms 67
Introduction 67
Measure of Market Risk 68
Estimating Measures of Market Risk with a Mean-Reverting Jump-Diffusion
Process 71
Modeling Spreads 74
Stress Tests and Scenario Analysis 77
Organizational and Qualitative Aspects of Risk Management 78
Contents
References 79
Notes 79
Chapter 7
Best Practices in Credit Risk Management for Energy and
Commodity Derivatives 81
Introduction 81
Internal Risk Ratings: Obtaining and Analyzing Credit-Related Information
from Counterparties 82
How Bad Can It Get? Potential Future Exposure 83
Counterparty Credit Risk Charges 88
Credit Loss Distributions 88
Economic Capital and Credit Risk 89
Conclusions 93
References 93
Chapter 8
Introduction to Natural Gas Trading 95
What Is Natural Gas? 95
Consumption Commodity 96
Pipeline Grid 96
Supply and Demand 97
Financial Market 98
The Physical Market Meets the Financial 101
Characteristics of Natural Gas Risk 104
How the US Gas Industry Developed 106
Where Are We Going? 108
Chapter 9
Structured Transactions in Natural Gas 111
Introduction 111
Natural Gas Storage 112
Valuation Techniques 112
Optimization Overview 121
Swing Options 124
Asian Options 127
Contents
Swaptions 129
References 130
Notes 130
Chapter 10
Liquidity Risk Measurement and Management for
Energy Firms 133
Introduction 133
Components of a Liquidity Risk Framework 133
Infrastructure 140
Conclusions 143
References 143
Chapter 11
Value of Technical Analysis in Energy Markets 145
Introduction 145
What Is Technical Analysis? 146
The Principles of Technical Analysis 147
Trendlines 148
Trendline and Breakout 150
Other Types of Charts 152
End of Trend Signal 155
Fibonacci Retracement Levels 157
Chart Reading 159
Mathematical Indicators 159
Interpretation 162
Conclusions 164
Reference 165
Chapter 12
Risk Management in Energy-Focused Commodity
Futures Investing 167
Introduction 167
Risk Is the Flipside of Return 167
The Most Important Element of an Investment Process 168
Product Design Issues 168
Contents________________________________________________________________
Viability of a Futures Program 169
Standard Risk Management Methodology 169
Understanding Price Behavior 170
Value at Risk 171
Scenario Testing 172
Deep Out-of-the-Money Options 173
Exit Strategy 173
Diversification and Concentration Risk 173
Understanding the Fundamental Drivers of a Strategy 174
Extraordinary Stress Testing 180
Risk Management Reports 182
Conclusions 183
Acknowledgements 184
References 185
Chapter 13
The ISDA Master Agreement Ten Years On, ISDA 2002 187
Introduction 187
The ISDA Agreement 187
The ISDA Master Agreement 189
Useful ISDA Publications 189
Pre-confirmations and Long-Form Confirmations 190
ISDA Documentation Processing 191
Trading Before an ISDA Is Signed 194
The Main Differences between ISDA 2002 and the ISDA 1992
Master Agreement 195
Appendix A: ISDA Agreement 201
Appendix B: Sample Letter 206
Notes 207
Chapter 14
Creation and Transfer of Price Risk in European
Energy Markets 209
Introduction 209
Creation of Risk 210
Contents
Risk Transfer 213
Financial Risk Transfer 219
The Impact of Policy and Regulation 223
Conclusions 225
References 227
Notes 227
Chapter 15
Energy Options 101 231
Introduction 231
Basics of Oil Derivatives Structures (Exchange Traded and
Over-the-Counter) 233
Basic Derivatives Structures 234
Option Pricing Methodology/Overview of Option Pricing 238
Conclusions 242
Notes 243
Chapter 16
Energy Trading, Transaction, and Risk Management Software:
A Key Component in Risk Management 245
Introduction 245
Historical Perspectives 245
Current Status of ETRM Software 247
A Dichotomy of Requirements 250
A New Era of ETRM Software? 251
ETRM Software as an Essential Part of Risk Management Policy 252
Risk Management Tools and Methods 253
Conclusions 254
References 254
Chapter 17
Electricity Options 255
Introduction 255
History of Electricity Options 256
Who Uses Electricity Options? 257
Option Basics 257
The Greeks 258
Contents
The Valuation of Options 259
Electricity Option Basic Structures 261
Commonly Observed OTC Electricity Option Products 262
Potential Portfolio Applications 265
Conclusions 268
Notes 268
Chapter 18
The New Weather Risk Market Hedging and Trading
Strategies 269
Why Is Weather Important? 269
Developing a Weather Strategy: How to Identify and Quantify the Risk 271
Developing a Weather Strategy 276
Conclusions 281
Further Information 282
Notes 282
Chapter 19
Outlook for Asian Energy Markets 283
Introduction 283
Asia s Risk Profile 284
Different Market Evolution 284
The Market Drivers of Energy Trading 285
Market Development 285
The Asia-Pacific Region in the Global Supply Scheme 286
Other Fundamental Changes Under Way in Asian Oil Markets 288
Changes in Oil Suppliers 289
Tanker Market Developments 289
Asian Market Characteristics 290
Challenges to Change 291
Conclusions 293
Chapter 20
Green Trading: Environmental Financial Markets and Energy
Trading 295
Introduction 295
Market Developments Now Under Way 297
Contents
Where is Green Trading Today? 299
The New Investment Model for the Green Space 301
Climate Change as an Investment Opportunity 303
Cleantech Investment Indexes 304
Get to Know Your Risks 304
Why Environment Is Rising as Both a Corporate Financial Issue and
Investment Opportunity 305
Chapter 21
Lessons Learned from the US Experience in
Trading Sulfur Dioxide Allowances 307
Introduction 307
Summary of SO2 Allowance Trading 308
Experience to Date 311
Lessons Learned 317
References 324
Chapter 22
The Complexities of Trading Regional Emission Markets 327
Introduction 327
Houston/Gal veston Mass Emissions Cap and Trade (MECT)
Program 330
San Joaquin Valley Emission Reduction Credit Trading Program 333
Notes 336
Chapter 23
Climate Risks and Electric Utilities 337
Introduction 337
States Taking the Lead in the USA 340
Focus on Electric Power Companies 341
IGCC Holds Promise 348
Outlook for US Carbon Regime 352
References 353
Notes 353
Contents
Chapter 24
Green, White, and Red Certificates Trading in Italy 355
Introduction 355
Green Trading 356
White Trading 358
Red Trading 360
Conclusions 362
Note 362
Chapter 25
Carbon Trading: A New Commodity Is Born 363
Introduction 363
The Genesis of Carbon 364
The Policy Framework 366
The Kyoto Protocol 367
Flexibility Mechanisms 369
The EU Emissions Trading Scheme 375
Drivers of Carbon Pricing in the EU ETS 377
Future Uncertainties in European Gas and Power Affecting
Carbon Pricing 383
Emergence of Multiple Carbon Product Markets in the Short Term 384
Will the EU ETS Set the Global Price for Carbon? 384
Impact on the European Power Sector 387
Concluding Remarks: Post-2012 Scenario 390
Chapter 26
Entrance of Energy and Environmental Hedge Funds 393
Introduction 393
Energy Hedge Funds 394
Why Enter Energy Now? 396
Oil Trading Market Opportunities 399
Structural Changes in Commodity Trading 399
Waiting for Mean Price Reversion 400
What Is a Hedge Fund? 402
xvi Contents
Types of Hedge Funds 403
Why the Hedge Fund Factor Is Here to Stay 405
How Are Oil and Gas Prices Determined? 405
Energy Trading Is Now Rebuilt 407
What the Future Holds 410
Acknowledgments 412
References 412
Note 412
Chapter 27
Forward-Looking Energy and Environmental Trading Market
Developments 413
Introduction 413
Energy Hedge Funds 417
Nature of Risk-Taking Is Changing 418
Other Market Changes 419
The Future in Energy and Environmental Trading Will Be Different 420
Conclusions 420
GLOSSARY 423
INDEX 451
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| spelling | The professional risk managers' guide to the energy market ed. by Peter C. Fusaro New York, NY [u.a.] McGraw-Hill 2008 XXI, 467 S. graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier PRMIA risk management series Management (DE-588)4037278-9 gnd rswk-swf Rohstoffpreis (DE-588)4050428-1 gnd rswk-swf Energiewirtschaft (DE-588)4014743-5 gnd rswk-swf Rohstoffreserve (DE-588)4425009-5 gnd rswk-swf Energiewirtschaft (DE-588)4014743-5 s Rohstoffreserve (DE-588)4425009-5 s Rohstoffpreis (DE-588)4050428-1 s Management (DE-588)4037278-9 s DE-604 Fusaro, Peter C. edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020601919&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The professional risk managers' guide to the energy market Management (DE-588)4037278-9 gnd Rohstoffpreis (DE-588)4050428-1 gnd Energiewirtschaft (DE-588)4014743-5 gnd Rohstoffreserve (DE-588)4425009-5 gnd |
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| title | The professional risk managers' guide to the energy market |
| title_auth | The professional risk managers' guide to the energy market |
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| title_full | The professional risk managers' guide to the energy market ed. by Peter C. Fusaro |
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| title_short | The professional risk managers' guide to the energy market |
| title_sort | the professional risk managers guide to the energy market |
| topic | Management (DE-588)4037278-9 gnd Rohstoffpreis (DE-588)4050428-1 gnd Energiewirtschaft (DE-588)4014743-5 gnd Rohstoffreserve (DE-588)4425009-5 gnd |
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