Managing Energy Price Risk: 4th Edition - Product Image

Managing Energy Price Risk: 4th Edition

  • ID: 3622894
  • Book
  • Region: Global
  • Risk Books
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Finding effective ways of managing energy price risk has emerged as one of the great challenges facing both practitioners and academics in the field. Management of exposures to price level and volatility is a complicated task in any business, but it is especially difficult in a commodity market characterised by rapid structural change and a growing degree of integration, both geographically and across different market segments.

This fourth edition of the perennial classic Managing Energy Price Risk brings together chapters by a cross-section of industry leaders and academic thinkers.
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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
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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
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