Verfügbarkeit: Managing energy risk

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Bibliographische Detailangaben
Titel:	Managing energy risk an integrated view on power and other energy markets
Von:	Markus Burger ; Bernhard Graeber ; Gero Schindlmayr
Person:	Burger, Markus Verfasser aut Graeber, Bernhard Schindlmayr, Gero 1970- 1972-
Hauptverfassende:	Burger, Markus (VerfasserIn), Graeber, Bernhard 1970- (VerfasserIn), Schindlmayr, Gero 1972- (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Chichester [u.a.] Wiley 2007
Schriftenreihe:	Wiley finance
Schlagworte:	Energy industries > Risk management Wirtschaftsmathematik Mathematisches Modell Energiemarkt Portfolio Selection Finanzmathematik Risikomanagement Terminhandel
Online-Zugang:	http://deposit.dnb.de/cgi-bin/dokserv?id=2984070&prov=M&dok_var=1&dok_ext=htm http://catdir.loc.gov/catdir/enhancements/fy0808/2007042797-t.html http://www.loc.gov/catdir/enhancements/fy0801/2007042797-d.html 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 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
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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Datensatz im Suchindex

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DE-BY-UBR_katkey	4234058
DE-BY-UBR_location	UB Magazin UB Handapparat Recht/Wirtschaft Prof. Dorfleitner
DE-BY-UBR_media_number	069034497023 TEMP12426499
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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.
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record_format	marc
series2	Wiley finance
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 Wirtschaftsmathematik (DE-588)4066472-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Energiemarkt (DE-588)4014712-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd Terminhandel (DE-588)4059499-3 gnd
subject_GND	(DE-588)4066472-7 (DE-588)4114528-8 (DE-588)4014712-5 (DE-588)4046834-3 (DE-588)4017195-4 (DE-588)4121590-4 (DE-588)4059499-3
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_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 Wirtschaftsmathematik (DE-588)4066472-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Energiemarkt (DE-588)4014712-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Risikomanagement (DE-588)4121590-4 gnd Terminhandel (DE-588)4059499-3 gnd
topic_facet	Energy industries Risk management Wirtschaftsmathematik Mathematisches Modell Energiemarkt Portfolio Selection Finanzmathematik Risikomanagement Terminhandel
url	http://deposit.dnb.de/cgi-bin/dokserv?id=2984070&prov=M&dok_var=1&dok_ext=htm http://catdir.loc.gov/catdir/enhancements/fy0808/2007042797-t.html http://www.loc.gov/catdir/enhancements/fy0801/2007042797-d.html 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 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
work_keys_str_mv	AT burgermarkus managingenergyriskanintegratedviewonpowerandotherenergymarkets AT graeberbernhard managingenergyriskanintegratedviewonpowerandotherenergymarkets AT schindlmayrgero managingenergyriskanintegratedviewonpowerandotherenergymarkets

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