Formulating Hedging Strategies For Financial Risk Mitigation In Competitive Us Electricity Markets PDF Download
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| Author | : Karthik Viswanathan |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2008 |
| Genre | : Accounting and price fluctuations |
| ISBN | : |
Download Formulating Hedging Strategies for Financial Risk Mitigation in Competitive U.S. Electricity Markets Book in PDF, ePub and Kindle
"The challenges currently facing participants in the competitive electricity markets are unique and staggering: unprecedented price volatility, fluctuations in the demand, a lack of historical market data on which to test the new modeling approaches, increased competition and continuously changing regulatory structure ... Electricity plant owners and purchasers of electricity may benefit from various techniques to manage price volatility. For electricity, however, no futures market is actively traded. The electricity forward market in NYMEX is in its nascent stage and is low in liquidity. Producers and purchasers of electricity may find cross-hedging electricity with natural gas futures contracts to be effective in reducing exposure to price volatility. The objective of this study is to estimate the cross-hedge relationship and strategies between spot electricity price and the NYMEX natural gas futures market for the cross-hedging horizon of one month"--Introduction, leaves 10-11
| Author | : Petter L. Skantze |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 240 |
| Release | : 2001-10-31 |
| Genre | : Business & Economics |
| ISBN | : 9780792375289 |
Download Valuation, Hedging and Speculation in Competitive Electricity Markets Book in PDF, ePub and Kindle
The challenges facing participants in competitive electricity markets are staggering: high price volatility introduces significant financial risk into an industry accustomed to guaranteed rates of return, while illiquid forward markets prevent effective hedging strategies from being implemented. Valuation, Hedging and Speculation in Competitive Electricity Markets: A Fundamental Approach , examines the unique properties which separate electricity from other traded commodities, including the lack of economical storage, and the impact of a scarce transmission network. The authors trace the sources of uncertainties in the price of electricity to underlying physical and economic processes, and incorporate these into a bid-based model for electricity spot and forward prices. They also illustrate how insufficient market data can be circumvented by using a combination of price and load data in the marking- to-market process. The model is applied to three classes of problems central to the operation of any electric utility or power marketer; valuing generation assets, formulating dynamic hedging strategies for load serving obligations, and pricing transmission contracts and locational spread options. Emphasis is placed on the difference between trades which can be 'booked out' in the forward markets, and those which must be carried through to delivery. Lately, significant attention has been given to the role of regulators in mitigating excessive price levels in electricity markets. The authors conduct a quantitative analysis of the long-term effects of regulatory intervention through the use of price caps. By modeling the dynamic interplay between the observed price levels and the decision to invest in new generation assets, it is shown how such short term fixes can lead to long term deficits in the available generation capacity, and ultimately to market failures and blackouts.
| Author | : Peter C. Fusaro |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 290 |
| Release | : 1998 |
| Genre | : Business & Economics |
| ISBN | : 9780786311842 |
Download Energy Risk Management Book in PDF, ePub and Kindle
Addressing the important issues of worldwide energy price risk management, this work assembles the leading industry figures to explain general theories and practices for hedging risk, and specific methods to effectively manage risk in markets such as coal, natural gas, electricity, and hydropower.
| Author | : Yong Tae Yoon |
| Publisher | : |
| Total Pages | : 13 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Download A Practical Mean-variance Hedging Strategy in the Electricity Markets Book in PDF, ePub and Kindle
This paper investigates the opportunities for risk hedging available to competitive electric power suppliers through the use of forward contracts. We formulate the production- and marketing-decision process of suppliers as a two-stage optimization problem. This optimization problem is solved employing the dynamic programming technique given the mean-variance cost function. Due to the unique characteristics of uncertainties in electricity markets, it is shown that the production decisions and the marketing decisions are interrelated, dissimilar to the earlier results. This is the direct consequence of using the two-stage model, which explicitly considers the inter-temporal effects. A more general formulation over many time periods is also presented; however, its complexity renders it difficult to solve. Keywords: Forward contracts, Futures market, Mean-variance cost function, Unit commitment, Risk management.
| Author | : Glachant, Jean-Michel |
| Publisher | : Edward Elgar Publishing |
| Total Pages | : 672 |
| Release | : 2021-11-12 |
| Genre | : Business & Economics |
| ISBN | : 1788979958 |
Download Handbook on Electricity Markets Book in PDF, ePub and Kindle
With twenty-two chapters written by leading international experts, this volume represents the most detailed and comprehensive Handbook on electricity markets ever published.
| Author | : Alexander Eydeland |
| Publisher | : John Wiley & Sons |
| Total Pages | : 506 |
| Release | : 2003-02-03 |
| Genre | : Business & Economics |
| ISBN | : 0471455873 |
Download Energy and Power Risk Management Book in PDF, ePub and Kindle
Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
| Author | : Panos Kouvelis |
| Publisher | : John Wiley & Sons |
| Total Pages | : 497 |
| Release | : 2011-10-26 |
| Genre | : Business & Economics |
| ISBN | : 1118115791 |
Download Handbook of Integrated Risk Management in Global Supply Chains Book in PDF, ePub and Kindle
A comprehensive, one-stop reference for cutting-edge research in integrated risk management, modern applications, and best practices In the field of business, the ever-growing dependency on global supply chains has created new challenges that traditional risk management must be equipped to handle. Handbook of Integrated Risk Management in Global Supply Chains uses a multi-disciplinary approach to present an effective way to manage complex, diverse, and interconnected global supply chain risks. Contributions from leading academics and researchers provide an action-based framework that captures real issues, implementation challenges, and concepts emerging from industry studies.The handbook is divided into five parts: Foundations and Overview introduces risk management and discusses the impact of supply chain disruptions on corporate performance Integrated Risk Management: Operations and Finance Interface explores the joint use of operational and financial hedging of commodity price uncertainties Supply Chain Finance discusses financing alternatives and the role of financial services in procurement contracts; inventory management and capital structure; and bank financing of inventories Operational Risk Management Strategies outlines supply risks and challenges in decentralized supply chains, such as competition and misalignment of incentives between buyers and suppliers Industrial Applications presents examples and case studies that showcase the discussed methodologies Each topic's presentation includes an introduction, key theories, formulas, and applications. Discussions conclude with a summary of the main concepts, a real-world example, and professional insights into common challenges and best practices. Handbook of Integrated Risk Management in Global Supply Chains is an essential reference for academics and practitioners in the areas of supply chain management, global logistics, management science, and industrial engineering who gather, analyze, and draw results from data. The handbook is also a suitable supplement for operations research, risk management, and financial engineering courses at the upper-undergraduate and graduate levels.
| Author | : |
| Publisher | : Lulu.com |
| Total Pages | : 294 |
| Release | : 2004 |
| Genre | : Bank capital |
| ISBN | : 9291316695 |
Download International Convergence of Capital Measurement and Capital Standards Book in PDF, ePub and Kindle
| Author | : Leonardo Martinez-Diaz |
| Publisher | : U.S. Commodity Futures Trading Commission |
| Total Pages | : 196 |
| Release | : 2020-09-09 |
| Genre | : Science |
| ISBN | : 057874841X |
Download Managing Climate Risk in the U.S. Financial System Book in PDF, ePub and Kindle
This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742
| Author | : Petter L. Skantze |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 220 |
| Release | : 2012-12-06 |
| Genre | : Technology & Engineering |
| ISBN | : 146151701X |
Download Valuation, Hedging and Speculation in Competitive Electricity Markets Book in PDF, ePub and Kindle
The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.
