Managing Energy Price Risk 3rd Edition: The New Challenges and Solutions

  • ID: 218977
  • Book
  • 350 Pages
  • Incisive Media
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The definitive third edition of the best-selling multi-author reference source on global energy and power markets. Fully revised, updated and extended to incorporate current market realities and theory enabling practitioners to effectively measure, structure, hedge and manage risk in today's energy related transactions- 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 that 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

"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

About the author:

Vincent Kaminski is currently an adjunct professor at Jesse H. Jones Graduate School of Management at Rice University. Prior to returning to academic life, he served as senior vice president of commercial analytics at Reliant Resources, Inc. in Houston, Texas. Before joining Reliant, Vincent was a managing director of Citadel Investment Group LLC and between 1992-2002, was the head of the quantitative modelling group at Enron Corp. From 1986-1992 he was vice-president in the research department, Bond Portfolio Analysis Group, of Salomon Brothers in New York. Vincent serves on the Executive Committee of the Global Energy Management Institute at Bauer College of Business, University of Houston and was awarded "Energy Risk Manager of the Year", in the James H. McGraw award, in 1999. His published work includes: The US Power Market , (Risk Books: London) and Energy Derivatives: Pricing and Risk Management (Lacima Publications, London). Vincent holds an MS in international economics, a PhD in theoretical economics from the Main School of Planning and Statistics in Warsaw, Poland, and an MBA from Fordham University in New York.
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Vincent Kaminski, Rice University

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

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

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

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

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
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