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Managing Energy Price Risk

The New Challenges and Solutions



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Managing Energy Price Risk: The New Challenges and Solutions
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The third edition of the multi-author reference source on global energy and power markets. Fully revised, updated and extended to incorporate current market realities and theory enabling practitioners to effectively measure, structure, hedge and manage risk in today's energy related transactions. Kaminski provides a complete review of the current state of the energy markets, with insights into how leading practitioners, academics and regulators are now tackling the issues and developments. All the main energy areas including natural gas, oil, coal and electricity as well as related markets such as emissions are covered within five easily accessible sub sections, each introduced by Vincent Kaminski that help correlate the entire book. Tyhe book additionally relates quantitative issues to both the needs of today's corporations and to the reality of current market practice. Technical terms and concepts are explained using worked examples and real life market insights. Brings together contributions and insight from some of the world's most respected practitioners, academics and regulators to reflect the current state of price risk management in the energy industry.

Table of Contents

CONTENTS Introduction Vincent Kaminski, Rice University ENERGY INSTRUMENTS Section Introduction - Vincent Kaminski 1. Energy Swaps Jack Kellett, Standard Bank London Ltd 2. Energy Options Michael Hampton, HDS Shipping 3. Energy Exotic Options Vincent Kaminski, Rice University and Stinson Gibner and Krishnarao Pinnamaneni, Constellation Power Source 4. Commodity Risk Management in Energy Project Finance Lloyd Spencer, PricewaterhouseCoopers DEVELOPMENTS IN ENERGY MARKETS Section Introduction - Vincent Kaminski 5. Risk and Regulatory Developments in US Energy Markets William Hederman and Lee Ken-Choo, Federal Energy Regulatory Commission 6. The Oil Market Etienne Amic and Phillipe Lautard, Elf Trading 7. The Natural Gas Market Vincent Kaminski, Rice University and Ross Prevatt, Centrica 8. The Development of European Electricity Markets Richard Lewis and Paul Dawson, Barclays Capital 9. Retail Energy Transactions in the US - Valuation, Risk and Supply Mia T. Vu, Reliant 10. Dealing with Emissions Cyriel de Jong, Rotterdam School of Management at Erasmas University and Kasper Walet and Andre Oosterom, Maycroft Consultancy Services RISK MEASUREMENT AND REPORTING Section Introduction - Vincent Kaminski 11. VAR, Stress Testing and Supplementary Methodologies: Uses and Constraints in Power and Energy Portfolio Risk Management Brian Senior, RWE Trading 12. Credit Risk in Power and Gas Markets Ellen Lapson, Denise Furey and Richard Hunter, Fitch Ratings 13. Accounting vs. Economics: Not Always a Perfect Match Lesley Knowlton, Deloitte and Touche TOOLS FOR RISK ANALYSIS Section Introduction - Vincent Kaminski 14. Power Forward Curves Alexander Eydeland and Krzysztof Wolniac, Mirant Corp 15. Arbitrage-Free Valuation of Energy Derivatives Kaushik Amin, Lehman Brothers, Victor Ng, Goldman Sachs and Craig Pirrong, Bauer College of Business at the University of Houston 16. Volatility in Energy Prices Darell Duffie, Stanford University, Stephen Gray, University of Queensland and Philip Hoang, Australian National University 17. Correlation in Crude Oil and Natural Gas Markets Carol Alexander, ISMA Centre, University of Reading Business School REAL OPTIONS Section Introduction - Vincent Kaminski 18. Real Options Ehud I. Ronn, University of Taxas at Austin 19. Gas Storage Management Cyriel de Jong, Rotterdam School of Management at Erasmas University and Kasper Walet and Andre Oosterom, Maycroft Consultancy Services 20. Valuation and Risk Management of Physical Assets Steve Leppard, Gaselys

Author Biography

Vincent Kaminski is currently an adjunct professor at Jesse H. Jones Graduate School of Management at Rice University. Prior to returning to academic life, he served as senior vice president of commercial analytics at Reliant Resources, Inc. in Houston, Texas. Before joining Reliant, Vincent was a managing director of Citadel Investment Group LLC and between 1992-2002, was the head of the quantitative modelling group at Enron Corp. From 1986-1992 he was vice-president in the research department, Bond Portfolio Analysis Group, of Salomon Brothers in New York. Vincent serves on the Executive Committee of the Global Energy Management Institute at Bauer College of Business, University of Houston and was awarded "Energy Risk Manager of the Year", in the James H. McGraw award, in 1999. His published work includes: The US Power Market, (Risk Books: London) and Energy Derivatives: Pricing and Risk Management (Lacima Publications, London). Vincent holds an MS in international economics, a PhD in theoretical economics from the Main School of Planning and Statistics in Warsaw, Poland, and an MBA from Fordham University in New York.
Release date NZ
April 15th, 2004
Edited by Vincent Kaminski
Country of Publication
United Kingdom
3rd Revised edition
diagrams, figures, tables
Risk Books
Product ID

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