Electricity trading and hedging
著者
書誌事項
Electricity trading and hedging
（Risk executive report）
Risk, c2000
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内容説明・目次
内容説明
This volume offers to show corporate decision-makers how they can build a responsible rationale for hedging and trading in the new power markets in the USA and Europe. It relates corporate tactics to developments in the new spot, futures and OTC markets, and discusses how to deal with key problems such as liquidity and the physical/financial interface. It also covers breaking market issues such as the role and risks of trading power on the Internet, and the implications of the July 1999 power price spike.
目次
Electricity Hedging & Trading -------------------------------------------------------------------------------- CONTENTS Executive Summary v Preface vii Introduction 1 What is price volatility- 3 The fundamentals of electricity: drivers of electricity demand 5 The fundamentals of electricity: supply and generation capacity 6 Joining demand and supply: the dispatch process under deregulation 7 What is risk management in electricity markets- 8 How Electricity Markets Work 13 Failure of futures markets to dominate 13 Varied menu of traded assets 14 Transmission services and traded power 14 The menu of electricity transactions 15 Discos and RFPs for standard offer service 15 The new long-term contract 17 Medium and short-term contracts 19 The instruments of electricity hedging: forwards, futures, options, weather derivatives and insurance 20 Futures 20 Exchange-traded versus OTC options markets 23 Over-the-counter and through the Web 24 Weather derivatives 27 Insurance 29 Blended instruments 31 Volatility issues 34 The results: the hours of terror, weeks of boredom 36 The gas crack 37 The markets for capacity and ancillary services 38 Arbitrage 38 Conclusion 38 Market Analysis 41 Inputs to electricity price analysis 41 Demand for electricity 41 Weather forecasting 44 Capacity analysis: outages, additions and constraints on generation and transmission 45 Input fuels 48 Oil 49 Natural gas 60 Integrating the inputs: the dispatch process 68 Electricity market depth, liquidity, herding behaviour and price volatility 71 The heat event of June 7-8, 1999 71 Herding behaviour 72 Are margins mean-reverting? 73 Hedging and Trading in Electricity Markets 75 Hedging instruments 75 Purposes of hedging electricity 77 Volatility reduction 78 Hedge gain maximisation and other extensions of risk management 79 Hedgemasters and portfolios 80 Types of hedging and trading programmes 84 Trading examples 85 Forward market strategies 87 Pure options strategies 90 Selling options 91 Options combinations 92 Hedging by condition: backwardised and contango markets 97 Self-insurance with finite risk instruments 100 Weather derivatives 101 Conclusions 102 Winners and losers 103 Energy consumers 104 Conclusions: Transition, Adaptation, Concentration 107 First conclusion: second decision must be better than the first 108 Second conclusion: cannot avoid power trading 110 Third conclusion: develop new energy products 113 And in the end 114 Notes 115
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