Energy
CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
Intraday power storage and demand optionality
George Levy discusses the value of intraday power storage and demand optionality in UK power contracts
Using derivatives to forecast oil scenarios
Generating probability-weighted oil price scenarios from traded derivatives prices can help risk managers in the industry
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
Commodity volatility, skew and inverse leverage effect
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
A profit and loss attribution framework for physical and financial energy portfolios
A P&L attribution framework can improve the information available to energy traders
Simulating meaningful uncertainty for complex energy portfolios
The meaningful uncertainty simulation framework can enable energy firms to make better decisions
Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
The UK carbon floor and power plant hedging
How to calculate expected future carbon costs and optimal valuation and hedging decisions, by adjusting Monte Carlo simulations for the UK market
How to get maximum value from power plant hedging
Dynamic hedging is becoming more common among plant operators
Quant Ideas: How VAR can add value to energy market analysis
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
Modelling the financial risks of wind generation with Weibull
The manner in which wind generation can affect the half-hourly APX price is discussed
Internal transfer price optimisation for integrated energy firms
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
Cutting Edge: Co-simulation of risk factors in power markets
A simple but realistic model to co-simulate the time series of temperature, electricity load and prices is proposed
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Cutting edge: Kriging smooth energy futures curves
Applying kriging to extract smooth curves from energy futures prices
Cutting edge: Modelling dependence of price spikes in Australian electricity markets
The deregulation of Australian electricity markets has brought several challenges, including the possibility of price spikes, which expose market participants to significant risks. As Adebayo Aderounmu and Rodney Wolff outline, these spikes are hard to…
Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
Cutting edge: Electricity contract risk with portfolio effects
The incremental risk of including electricity contracts in a portfolio is computed by George Levy using a Monte Carlo regime-switching approach. The volume and price processes are modelled using empirical distributions and correlation is captured via a…