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Energy Risk Management

By Steve Leppard

Overview

A concise and focused report that explains the concept of energy price hedging in an accessible format ideally tailored for busy practitioners.

Publish date: 1 Dec 2005

Availability: In stock

Product Unit Price Qty
Energy Risk Management
£249.00
eBook - Energy Risk Management
EPUB
£189.00
OR

Book description

Specifically written to save time and aid decision-making among busy senior executives and managers - and indeed any reader - who does not wish to be hampered by unnecessary technical detail while gaining a clear understanding of energy risk management issues.

Illustrates the purpose of energy derivatives, and evaluates their benefits and weaknesses.

More complex, quantitative material is present, but as an optional extra to your understanding - appearing only in technical appendices should you wish to deepen your appreciation of the subject and apply it to your own business.

Succinctly explains how energy derivative instruments are constructed and priced, as well how their risk can be understood and managed.

The report equips you with:

  • The ability to identify risks and their interactions.
  • Techniques to express these risks clearly.
  • An appreciation of trading activity and its role in risk management.
  • A thorough understanding of energy risk management (derivative) instruments and their relationship with physical supply and off take agreements.
  • Insight into how risk management solutions can be constructed to offer protection against market price movements.
  • The ability to identify flexibilities in physical operations and recognise their value.

Key to Risk Books’ new series of executive reports - this title is concise, highly accessible and practical - offering easily digested chunks of information. And to further aid your understanding it makes extensive use of bullet lists, diagrams, chapter summaries, learning aids and many market relevant case studies that marry the concepts of energy derivatives with recognisable events.

About Executive Reports**

Featuring up-to-the-minute research and essential market intelligence the new Executive Reports series from Risk Books helps you profit in a variety of industry specific sectors. Hard facts combine with practical guidance and incisive analysis to offer a highly-accessible practitioner-focused format that saves you time and aids decision-making.

Book details

ISBN
Book 9781904339748xy / EBook 9781908823090
Publish date
1 Dec 2005
Format
Paperback
Size
A4

Author biography

Steve Leppard

Steve Leppard is a commodity structurer for corporate and liability clients in JP Morgan’s commodity team in London, a post he took up in June 2008. Prior to this Steve held posts in commodity structuring at Merrill Lynch in London, head of BP’s global oil structured derivatives group in London, SG’s senior strategist for their Gaselys JV with Gaz de France in Paris and head of Enron Europe’s quantitative research group in London. Dr Leppard holds a PhD in Mathematics from King’s College London and a first class honours degree in Mathematics from Imperial College London.

Table of contents

INTRODUCTION

Energy risk management

The risk management process

Style of presentation in the report

Chapter review and look ahead

RISK IN ENERGY MARKETS

Financial and commodity markets

Understanding risk

Designing a risk management programme

Chapter review and look ahead

MARKET VALUE OF PHYSICAL AND FINANCIAL COMMITMENTS

Preamble

Commitments, positions and market prices

Position

Market prices

Contracts and mark-to-market quantities

Mark-to-market is valid only for an instant

Chapter review and look ahead

Technical appendix: Interest rates and compounding conventions

PHYSICAL TRANSACTIONS AND BASIC HEDGING INSTRUMENTS

Physical transactions

Preamble

Physical producer

Physical consumer

Physical transformer

Risk analysis

Physical futures and forwards

Futures contracts

Forward contracts

Fixed-for-floating swaps

Other types of swap

Floating-for-floating swaps

Quanto swaps

Indexation swaps

Other swap types

Chapter review and look ahead

Technical appendix: Futures margining

Technical appendix: Pricing of OTC linear instruments

FUNDAMENTAL OPTION CONCEPTS

The language and nature of options

Why and how are options used by hedgers?

“Moneyness” and option values

Factors impacting option value

More on volatility

Moving beyond European options

Asian options

Integrated physical and risk management contracts

American options

Swaptions

The cost of hedging with options

Chapter review and look ahead

Technical appendix: Black–Scholes option valuation

DERIVATIVES PACKAGES

Combining derivatives into a package

Relationship between put and call option values

Collars and premium reduction

Three-way options

Buy-downs and participations

Structures with volume and term flexibility

Integrated physical and financial structures

Chapter review and look ahead

FURTHER TOPICS IN DERIVATIVES STRUCTURING

Exotic options and tailored structures

Spread and basket options

Digital options

Quanto options

Other option and structure types

Real options

Risk-analysis example: Hedge-based financing

Currency-market risk questions

Commodity market questions

Interest-rate-risk questions

Technical/force majeure risk questions

Proxy-risk questions

Volumetric-risk questions

Chapter review and look ahead

Technical appendix: Getting the most out of your quants

Technical appendix: Option value needn’t increase with

Increasing volatility

Technical appendix: Diagrammatic notation

WIDER RISK MANAGEMENT QUESTIONS

Market risk

Market risk concepts

Market VaR techniques

Controlling market risk exposures

Beyond market risk: Physical risk management

The risk matrix approach to transaction analysis

Introductory notes

The galaxy of risks

The risk management process

Philosophy of the risk matrix approach

What is the process?

Mapping responsibilities and following the approach

Discussion of some of the risks

Accounting risk

Market risks

Credit risks

Force majeure

Curve construction and data risks

Reputational risk

Rolling out the approach in your company

CONCLUSION

References

Preamble

General and finance

Energy derivatives

Real options

Risk management

Quantitative derivative finance

Customer Reviews

Average customer reviews for Energy Risk Management
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