Energy Risk/Technical paper
Counterparty risk
Energy Risk Annual Awards
Real option valuation
Emissions trading
The sum of its parts
Germany
Real-time trading
Rankings 2005
Caring competition
What are the theoretical consequences of restructuring electricity markets on emissions? Here, Benoît Sévi shows that changes in supply and consumption and restructuring for competition has environmental effects, and argues that strong public policies…
Ex-citations
Oil
Earnings at risk
The structure of a typical energy portfolio often contains a different assetand contract mix from the simple derivatives instruments in a more standard portfolio.This requires a different approach to risk. Here, Les Clewlow and ChrisStrickland make the…
A decent exposure
Weather risk
Getting physical
Technology
Covering all the bases
Natural Gas
A history lesson
Abstract: The size of bid/ask spreads in electricity options has both valuationand credit implications. Here, Ted Kury of The Energy Authority shows how toderive theoretical spreads using historical option price data so they can beused as liquidity…
The matrix
Abstract: Portfolio-wide risk management requires a model that accounts correctlyfor the volatility of, and the correlations between electricity forward products.In this paper Kjersti Aas and KjetilK°aresen discuss a joint model for electricityforward…
String theory
Awards 2004
Trading techniques
Rankings 2004
Storage strategies
Rankings 2004
’Tis the season...
Abstract: Aurelian Tröndle presents a general framework for modelling prices of storable and non-storableenergy assets, which sheds light on different market fundamentals, and showshow energy market volatility is seasonal and anything but stable. The…
Dissecting risk
New frontiers
Operational and market risks of a regulated power utility
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk
Both sides of the fence: a statistical and regulatory view of electricity risk
Ernst Eberlein and Gerhard Stahl analyse price series of 25 energy spot rates simultaneously using Lévy models. This model class allows the capture of stochastic behaviour of these financial instruments. The implications of this analysis will form the…
Valuing exploration and production projects
Lukens Energy Group’s Hugh Li sets out an option method for valuing exploration and production projects, using a practical example
Backwardation and contango change indicators for seasonal commodities
In the first part of this two-part article, Svetlana Borovkova introduced two indicators for detecting changes between backwardation and contango market states. Here, in the second part, she applies the indicators to seasonal commodities and introduces a…
Detecting market transitions: from backwardation to contango and back
Svetlana Borovkova looks at detecting market transitions between backwardation and contango states using the forward curve. In this first part of a two-part article, she introduces two change indicators, which she applies to oil futures prices. Next…