Book description
- 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 to help correlate the entire book:
- Energy Instruments
- Developments in Energy Markets
- Risk Measurement and Reporting
- Tools for Risk Analysis
- Real Options
- Relates quantitative issues to both the needs of today’s corporations and to the reality of current market practice
- Explains technical terms and concepts using worked examples and real life market insights
- Largely re-written to incorporate developments over the last four years, this third edition now includes additional new chapters that cover the management of retail energy markets, gas storage, the emissions market, international coal markets and the issue of financial style hedging and risk management of assets that are subject to physical risk amongst others
- 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
- A near complete compendium of knowledge designed to enable risk managers and senior executives make more informed decisions as well as identifying some key unanswered questions to help direct future research on the subject matter
Book details
- ISBN
- Book 9781908823793 / EBook 9781908823182
- Publish date
- 1 Mar 2004
- Format
- Paperback
- Size
- 155mm x 235mm
Editor biography
Vincent Kaminski
Mr Vincent Kaminski has spent fourteen years working in different positions related to quantitative analysis and risk management in the merchant energy industry. The companies he has worked for include Citigroup, Sempra Energy Trading, Reliant Energy, Citadel Investment Group, and Enron (from 1992 to 2002) where he was the head of the quantitative modeling group. Prior to beginning a career in the energy industry, Mr Kaminski was a vice president in the research department, bond portfolio analysis group, of Salomon Brothers in New York (from 1986 to 1992). In September 2006 Mr Kaminski accepted an academic position with Rice University in Houston (Jesse H. Jones Graduate School of Business) where he is teaching MBA level classes on energy markets, energy risk management and valuation of energy derivatives.
Mr Kaminski holds an M.S. degree in international economics, a Ph.D. degree in theoretical economics from the Main School of Planning and Statistics in Warsaw, Poland, and an MBA from Fordham University in New York. He is a recipient of the 1999 James H. McGraw award for Energy Risk Management (Energy Risk Manager of the Year). Mr Kaminski has published a number of papers, and contributed to several books, on the energy markets.
Table of 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
Testimonials
“Previous editions of Managing Energy Price Risk have deservedly come to be regarded as key reference works in the field... This new edition confirms the book’s status as a key reference work in the area of energy risk.“
Satyajit Das, The Finance and Treasury Professional
“I think this book reveals why we rely on Dr Kaminski. Clearly organised and comprehensive... Managing Energy Price Risk belongs on every risk managers’ shelf.“
Arthur Warga, Bauer College of Business, University of Houston
“A welcome addition to round out any risk management library“
Mark Williams, Finance and Economics Department, Boston University
Customer Reviews
