This paper explores determinants of day-ahead market prices for ancillary services and energy in the Electric Reliability Council of Texas (ERCOT).
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…
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
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.
CCP's clearing members incurred 49 margin breaches as of end-September
This paper offers a new way to price and hedge energy swing contacts, decomposing swing contracts into tradeable products, adding time-spread optionality to Keppo’s approach.
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Traders remain in the dark about the future of the UK’s participation in the Internal Energy Market
Three upcoming pieces of legislation will have significant effects on balancing trades for the UK, says energy expert
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives.
Improving the Brazilian electricity market: how to replace the centralized dispatch by decentralized market-based bidding
This paper proposes replacing the Energy Reallocation Mechanism with a bid- based short-term market called the virtual reservoir model.
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.
Energy Risk Awards 2018: Quantitative and technological know-how combine to improve performance for clients of German consultancy
Igor Koprivnikar, member of the management board at Gen-i, discusses what sets the organisation apart as the top power dealer in eastern Europe, the benefits that a global portfolio can bring for clients in regional European markets, and how strong…
This paper studies the characteristics of the conditional mean and volatility of daily price movements of the system price for the Nordic/Baltic one-day-ahead spot electric power market.
In this study, the authors investigate drivers of merger activity in the oil and gas sector and seek to ascertain how key determinants influence the takeover likelihood of oil and gas companies.
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
Commodities firms face lasting changes in 2018
This paper studies the problem of a financial agent wishing to maximize a constant relative risk-aversion expected utility of their terminal wealth while operating in an ID market.
This paper develops a novel methodology for estimating the systematic risk of individual financial transmission rights and detecting the presence of abnormal returns among these financial instruments.
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.