EconPapers    
Economics at your fingertips  
 

Residual Shape Risk on Czech Natural Gas Market

Karel Janda and Jakub Kourilek
Additional contact information
Jakub Kourilek: Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic

No 2018/33, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This paper introduces residual shape risk as a new subclass of energy commodity risk. Residual shape risk is caused by insufficient liquidity of energy forward market when retail energy supplier has to hedge his short sales by a non-exible standard baseload product available on wholesale market. Because of this inflexibility energy supplier is left with residual unhedged position which has to be closed at spot market. The residual shape risk is defined as a difference between spot and forward prices weighted by residual unhedged position which size depends on the shape of customers' portfolio of a given retail energy supplier. For empirical evaluation of residual shape risk we use a real portfolio of a leading natural gas retail supplier in the Czech Republic over the period 2016-2017. The size of residual shape risk in our example corresponds approximately to 1 percent of profit margin of natural gas retail supplier.

Keywords: natural gas markets; spot prices; forward prices; residual shape risk (search for similar items in EconPapers)
JEL-codes: C51 C58 Q41 Q47 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2018-10, Revised 2018-10
New Economics Papers: this item is included in nep-ene, nep-rmg and nep-tra
References: Add references at CitEc
Citations:

Downloads: (external link)
http://ies.fsv.cuni.cz/sci/publication/show/id/5907/lang/cs (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://ies.fsv.cuni.cz/sci/publication/show/id/5907/lang/cs [301 Moved Permanently]--> https://ies.fsv.cuni.cz/sci/publication/show/id/5907/lang/cs)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2018_33

Access Statistics for this paper

More papers in Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().

 
Page updated 2025-03-30
Handle: RePEc:fau:wpaper:wp2018_33