Detail publikace

Residual Shape Risk on Czech Natural Gas Market

Autor: prof. Ing. Karel Janda M.A., Dr., Ph.D., Jakub Kourilek
Typ: IES Working Papers
Rok: 2018
Číslo: 33
ISSN / ISBN:
Publikováno v: IES Working Papers 33/2018
Místo vydání: Prague
Klíčová slova: natural gas markets, spot prices, forward prices, residual shape risk
JEL kódy: C51, C58, Q41, Q47
Citace: Janda K. and Kourilek J. (2018): "Residual Shape Risk on Czech Natural Gas Market". IES Working Papers 33/2018, IES FSV, Charles University.
Abstrakt: This paper introduces residual shape risk as a new subclass of energy commodity risk. Residual shape risk is caused by insufficient liquidity of energy forward market when retail energy supplier has to hedge his short sales by a non-exible standard baseload product available on wholesale market. Because of this inflexibility energy supplier is left with residual unhedged position which has to be closed at spot market. The residual shape risk is defined as a difference between spot and forward prices weighted by residual unhedged position which size depends on the shape of customers' portfolio of a given retail energy supplier. For empirical evaluation of residual shape risk we use a real portfolio of a leading natural gas retail supplier in the Czech Republic over the period 2016-2017. The size of residual shape risk in our example corresponds approximately to 1 percent of profit margin of natural gas retail supplier.
Ke stažení: wp_2018_33_janda
Prosinec 2018
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