Energy Risk Management in Practice

Wieger Johan Hinderks, Andreas Wagner and Prilly Oktoviany

Chapter 14 in Handbook of Energy Finance:Theories, Practices and Simulations, 2020, pp 319-341 from World Scientific Publishing Co. Pte. Ltd.

Abstract: An overview of risk measurement techniques for typical energy utilities is given. Most common calculated risk measures are explained among the often simple calculation methods used in practice. For a more sophisticated risk analysis, the various model classes proposed in the literature are reviewed. A three-factor model is explained in mathematical detail and its application to the practical modeling of energy prices is shown. This includes spot and futures prices in different time resolutions as well as the calibration of such models.

Keywords: Energy Finance; Financial and Economic Modeling; Volatility; Forecasting; Quantitative Finance; Energy Markets (search for similar items in EconPapers)
JEL-codes: G20 G32 Q40 (search for similar items in EconPapers)
Date: 2020
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