Detail práce

Evaluation of Residual Shape Risk: Gas Energy Markets

Autor: Mgr. Jakub Kouřílek
Rok: 2018 - letní
Vedoucí: prof. Ing. Karel Janda M.A., Dr., Ph.D.
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 96
Abstrakt: The thesis evaluates and quantifies the residual shape risk on the Czech natural
gas market. The risk stems from insufficient liquidity of forward market,
when energy supplier has to hedge his short shaped sales by standard
baseload products available at wholesale market. Hence, energy supplier is
always left with residual position, which has to be closed at spot market. We
model the residual shape risk as a difference between spot and forward prices
weighted by residual position, which is derived from the shape of innogy Energie,
s.r.o. household portfolio. In order to do so we develop model for a spot
price dynamics based on the daily index OTE. We price forward contracts
as expected spot price at delivery. The spot price dynamics is modelled as
a mean-reverting Ornstein-Uhlenbeck process, while assuming two different
driving stochastic processes for innovations. First, we model them as a mixed
jump diffusion process. Second, we estimate control model assuming innovations
to come from the normal inverse Gaussian distribution. The residual
shape risk is then evaluated by Monte Carlo simulation of spot price paths,
which we use for hedging the portfolio shape. Five percent Value-at-Risk and
the Expected Shortfall measures for the jump mixed diffusion process yield
costs of 0.013 and 0.016 EUR/MWh, respectively. The second assumed process
yields costs of 0.011 and 0.013 EUR/MWh, respectively. Even though,
the risk is relatively low it worths mentioning at highly competitive market,
something what the retail energy supply business is. Further, we found the
OTE index to be of lower volatility relatively to the NBP day ahead index.
To our knowledge no one analysed Czech natural gas prices by this method
before. Moreover, an advantage of this approach is that it can be directly
used for other flow commodities like electricity




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