Energy markets
Derivatives house of the year: Macquarie Group
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Optimal weights and hedge ratio behavior in Brent oil and Islamic Gulf stock markets
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
Optimal extraction and taxation of strategic natural resources: a differential game approach
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis
The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.
Carbon pricing paths to a greener future, and potential roadblocks to public companies’ creditworthiness
In this paper, the authors introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years.
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
Introducing stylized facts on electricity futures through a market impact model
This paper provides an alternative way to introduce the stylized facts on electricity futures.
The impact of end-user market integration and the smart grid on electricity retailers in the Nordic region
With the help of a mixed complementarity problem formulation that describes a simplified market setting with two competing retailers, this paper analyzes the impact of the pending market changes on electricity retailers’ price markup and profit.
Estimating marginal effects of key factors that influence wholesale electricity demand and price distributions in Texas via quantile variable selection methods
Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence demand and price distributions; subsequently, the…
When climate risk starts to bite
Energy firms under increased pressure to assess physical climate risk
Energy firms grapple with rising customer risk
A case study on developing dynamic risk-based customer screening
Blockchain: transparency for energy markets in Chile (Prologue)
This paper is the prologue for our special issue on Blockchain-enabled Energy Markets.
Community energy retail tariffs in Singapore: opportunities for peer-to-peer and time-of-use versus vertically integrated tariffs
In this paper, an electricity market is simulated using an iterative double-auction algorithm that resolves a social welfare optimization problem based on the Kelly auction mechanism. It is adapted to the case of Singapore.
Energy Risk Awards 2019: The winners
BP and Engie pick up two awards each, while BNPP takes the coveted derivatives house of the year
In pursuit of good governance for the energy industry blockchain
This paper interprets the principles of good governance and corporate governance in the context of distributed ledger technologies, namely blockchain, analyzing specif- ically how these principles apply to a blockchain-enabled energy market.
Electricity market prices for day-ahead ancillary services and energy: Texas
This paper explores determinants of day-ahead market prices for ancillary services and energy in the Electric Reliability Council of Texas (ERCOT).
Parameter variation and the components of natural gas price volatility
This paper models natural gas returns explicitly, allowing for market participants to learn over time and to react differently to present changes in economic variables. This learning and adaptation, and the attendant parameter uncertainty, constitutes…
Finding potential in a volatile commodities market
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach
This study focuses on the use of batteries for real-time power trading and proposes a simulation-and-regression-based valuation model.
Nasdaq default came at time of mass margin breaches
CCP's clearing members incurred 49 margin breaches as of end-September