Managing Energy Risk

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An overview of today's energy markets from a multi-commodityperspective As global warming takes center stage in the public and privatesectors, new debates on the future of energy markets andelectricity generation have emerged around the world. The SecondEdition of Managing Energy Risk has been updated to reflectthe latest products, approaches, and energy market evolution. Afull 30% of the content accounts for changes that have occurredsince the publication of the first edition. Practitioners willappreciate this contemporary approach to energy and thecomprehensive information on recent market influences. A new chapter is devoted to the growing importance of renewableenergy sources, related subsidy schemes and their impact on energymarkets. Carbon emissions certificates, post-Fukushima marketshifts, and improvements in renewable energy generation are allincluded. Further, due to the unprecedented growth in shale gas productionin recent years, a significant amount of material on gas marketshas been added in this edition. Managing Energy Risk is nowa complete guide to both gas and electricity markets, andgas-specific models like gas storage and swing contracts are giventheir due. The unique, practical approach to energy trading includes acomprehensive explanation of the interactions and relations betweenall energy commodities. * Thoroughly revised to reflect recent changes in renewableenergy, impacts of the financial crisis, and market fluctuations inthe wake of Fukushima * Emphasizes both electricity and gas, with all-new gas valuationmodels and a thorough description of the gas market * Written by a team of authors with theoretical and practicalexpertise, blending mathematical finance and technicaloptimization * Covers developments in the European Union Emissions TradingScheme, as well as coal, oil, natural gas, and renewables The latest developments in gas and power markets havedemonstrated the growing importance of energy risk management forutility companies and energy intensive industry. By combiningenergy economics models and financial engineering, ManagingEnergy Risk delivers a balanced perspective that captures thenuances in the exciting world of energy.


DR MARKUS BURGER -(Karlsruhe, Germany) is Director of Risk Manage-ment at EnBW Trading (-Energie Baden-Württemberg AG) a company specialising in -energy -trading, optimization and risk management. Markus has more than fifteen years' experience in Commodity -Trading, Finance and Risk Management. He has a PhD in mathematics from -Karlsruhe Institute of Technology (KIT).

DR BERNHARD GRAEBER (Karlsruhe, Germany) is Head of Infrastructure Investments at -Talanx Asset -Management. Prior to that he was head of Renewable Energies and International -Climate Projects at EnBW AG and was res-ponsible for the coordination of all renewable -energy -activities within the EnBW group. Bernhard has a PhD in Energy Economics from Stuttgart -University.

DR GERO SCHINDLMAYR (Essen, Germany) is Head of Risk Control for asset-related trading at RWE -Supply & Trading GmbH. Over the last fifteen years, Gero held various positions in the finance and energy industry in the area of quantitative modelling and risk management and is author of several -research publications. He holds a PhD in mathematics from RWTH Aachen, University of Technology.


Managing Energy Risk: A Practical Guide for Risk Management in Power, Gas and Other Energy Markets, ­Second Edition is the essential guide to modern techniques in financial mathematics for trading energy. ­Following the successful first edition, it addresses the significant developments of energy markets over recent years and contains substantial new material to meet the requirements of these advances.

The book covers energy markets for electricity, natural gas, coal, oil and the market for ­emission certificates. It also focuses on the renewable energy sector, particularly the energy ­economic ­principles, value drivers and risks related to hydro, wind, solar and bio energy. This text ­integrates energy economic approaches, including fundamental market models with financial engineering approaches commonly used in banks and ­other ­trading companies. This ­includes trading, ­valuation and risk management of spot products, commodity ­futures and swaps, structured products such as swing contracts and real options like power plants or gas storages. A multi-commodity approach is taken, covering the mutual influences of electricity, fuels and emission ­markets. ­Advantages and disadvantages of different modelling and risk management approaches for practical usage are discussed throughout.

Written for researchers and professionals, Managing Energy Risk Second Edition, is an ideal reference for those from an energy economics background as well as those with experience in financial mathematics or trading. The book introduces a wide range of theoretical concepts as well as focusing on applications within the energy business.


Preface xi

Acknowledgements xiii

1 Energy Markets 1

1.1 Energy Trading 3

1.1.1 Spot Market 3

1.1.2 Forwards and Futures 4

1.1.3 Commodity Swaps 6

1.1.4 Options 6

1.1.5 Delivery Terms 6

1.2 The Oil Market 7

1.2.1 Consumption, Production and Reserves 7

1.2.2 Crude Oil Trading 10

1.2.3 Refined Oil Products 11

1.3 The Natural Gas Market 12

1.3.1 Consumption, Production and Reserves 13

1.3.2 Natural Gas Trading 15

1.3.3 Liquefied Natural Gas 19

1.4 The Coal Market 21

1.4.1 Consumption, Production and Reserves 21

1.4.2 Coal Trading 23

1.4.3 Freight 26

1.5 The Electricity Market 27

1.5.1 Consumption and Production 27

1.5.2 Electricity Trading 31

1.5.3 Electricity Exchanges 38

1.6 The Emissions Market 42

1.6.1 Kyoto Protocol 42

1.6.2 EU Emissions Trading Scheme 45

1.6.3 Flexible Mechanisms 46

1.6.4 Products and Marketplaces 48

1.6.5 Other Emissions Trading Schemes 51

2 Renewable Energy 55

2.1 The Role of Renewable Energy in Electricity Generation 55

2.1.1 Historical Development 55

2.1.2 Political Targets 58

2.1.3 Forecasts 59

2.2 The Role of Liquid Biofuels in the Transportation Sector 60

2.3 Renewable Energy Technologies 61

2.3.1 Hydropower 61

2.3.2 Wind Power 66

2.3.3 Solar Energy 69

2.3.4 Geothermal Energy 71

2.3.5 Bioenergy 73

2.3.6 Not Widespread Renewable Energies 77

2.4 Support Schemes for Renewable Energy 78

2.4.1 Feed-In Tariffs 80

2.4.2 Net Metering 83

2.4.3 Electric Utility Quota Obligations and Tradable Certificates 83

2.4.4 Auctions 85

2.4.5 Subsidies, Investment Grants and Tax Benefits 86

2.5 Key Economic Factors of Renewable Energy Projects 87

2.5.1 The Project Developer's Perspective 87

2.5.2 The Project Investor's Perspective 88

2.6 Risks in Renewable Energy Projects and their Mitigation 90

2.6.1 Project Development Risks 90

2.6.2 Construction Risks 93

2.6.3 Resource Risks 93

2.6.4 Technical Risks 96

2.6.5 Market Risks 97

2.6.6 Regulatory Risks 99

2.6.7 Other Operational Risks 100

3 Risk Management 101

3.1 Governance Principles and Market Regulation 102

3.2 Market Risk 104

3.2.1 Delta Position 104

3.2.2 Variance Minimising Hedging 110

3.2.3 Value-at-Risk 111

3.2.4 Estimating Volatilities and Correlations 120

3.2.5 Backtesting 123

3.2.6 Liquidity-Adjusted Value-at-Risk 123

3.2.7 Profit-at-Risk and Further Risk Measures 127

3.3 Legal Risk 130

3.4 Credit Risk 134

3.4.1 Credit Rating 137

3.4.2 Quantifying Credit Risk 140

3.5 Liquidity Risk 144

3.6 Operational Risk 146

4 Retail Markets 151

4.1 Interaction of Wholesale and Retail Markets 151

4.2 Retail Products 155

4.2.1 Fixed-Price Contracts 155

4.2.2 Indexed Contracts 156

4.2.3 Full Service Contracts 157

4.2.4 Partial Delivery Contracts 157

4.2.5 Portfolio Management 158

4.2.6 Supplementary Products 159

4.3 Sourcing 160

4.3.1 Sourcing Fixed-Price Contracts 160

4.3.2 Sourcing Indexed Contracts 161

4.3.3 Sourcing B2C Contracts 162

4.4 Load Forecasting 163

4.5 Weather Risk in Gas Retail Markets 165

4.5.1 Weather Derivatives 168

4.6 Risk Premiums 172

4.6.1 Risk-Adjusted Return on Capital 174

4.6.2 Price Validity Period 174

4.6.3 Structuring Fee and Balancing Energy 175


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Managing Energy Risk
An Integrated View on Power and Other Energy Markets
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Wärme-, Energie- und Kraftwerktechnik
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