Risk management
The matrix
Abstract: Portfolio-wide risk management requires a model that accounts correctlyfor the volatility of, and the correlations between electricity forward products.In this paper Kjersti Aas and KjetilK°aresen discuss a joint model for electricityforward…
Teething troubles
Following decades of cloistered state control and the exit of a number of largeUS players, the Australian power market is going through a period of hiccups. Paul Lyon reports on the outlook for the country’s electricity sector
Covering all the bases
Abstract: Many articles have discussed constructing models for either spot orforward prices. Yet none cover the whole process of constructing a joint modelfor both. Here, Andreas Huber and MonikaKrca develop a multi-factor model thatcaptures both the…
Buyouts are back
Private equity funds have been making bold inroads into energy markets in the past year – the number of deals has doubled since 2003, and the acquisitions are getting bigger. CatherineLacoursiere reports
SunGard acquires ASP pioneer Kiodex
SunGard has acquired New York based Kiodex, a supplier of web-based risk management, financial reporting, FAS 133 compliance and market data solutions for companies exposed to commodity price risk.
Tractebel opts for PowerCosts
Tractebel Energy Marketing, a subsidiary of energy company Tractebel, has signed up to use risk trading technology provided by PowerCosts Inc (PCI).
Allegheny sells West Virginia gas ops for $228m
Monongahela Power Company, a subsidiary of Pennsylvania-based Allegheny Energy, is to sell its natural gas operations in West Virginia for $141 million in cash and $87 million in assumed long-term debt to a private investment partnership.
Looking to the east
Can power market operators in the new EU member states in eastern Europe gainthe liquidity they need to challenge either bilateral electricity contracts orthe established exchanges? Joe Marsh reports
Viva lost vegas
Brett Humphreys discusses the problems of calculating true value-at-risk on aconcentrated options portfolio – in particular, the various pitfalls thatcan befall a risk manager in ignoring vega risk – and considers ways ofhandling these issues
Vertical take-off
As UK supplier Centrica narrows its focus to fund an asset acquisition spree, James Ockenden finds the ‘asset-light’ utility model has finallybeen buried and a move towards ‘vertical integration’ is now thestrategy of choice
Building load links
In the third article in this series, Les Clewlow , ChrisStrickland and MichaelBooth show how the Monte Carlo techniques used in previous articles can accuratelyhighlight the crucial relationship between price and load – a complex correlationaffecting the…
Technology upload
There has been a recent upswing in the fortunes of energy risk software industry. And that is reflected in this year’s expanded technology vendor guide, making it the definitive guide to energy software and technology available
The troubleshooter
After struggling for a year with a difficult Triple Point installation, US energycompany Cinergy brought in energy IT veteran Joel McKnight. Nine months on, implementationand integration is complete. By Joe Marsh
King of convenience
The need for Sarbanes-Oxley certification has boosted sales of internet servicerisk systems, says web pioneer Martin Chavez of Kiodex. By James Ockenden
Nordic volumes heading south
Nordic region electricity trading volumes are falling fast, which is damagingprofits at Oslo-based power exchange Nord Pool. The company may face postinga loss for 2004 if it cannot reverse this trend. Joe Marsh reports
Energising Houston
Bear Stearns created its Houston-based energy group to acquire and optimise powergeneration assets in North America. And the business is going from strength tostrength, says its managing director Pamela Baden. PaulLyon reports
Energising Houston
Bear Stearns created its Houston-based energy group to acquire and optimise powergeneration assets in North America. And the business is going from strength-to-strength,says its managing director Pamela Baden. Paul Lyon report
Weather patterns
OTC weather derivatives volumes are down around 20% on last year, but exchange-tradedweather futures are on the up. Paul Lyon looks at WRMA’s annual survey,and reviews the past year’s trends in the weather risk market
Banking on energy
Banks keen to establish an energy trading presence are finding that partneringwith energy companies, or even acquiring trading businesses outright, could bethe way forward. Paul Lyon reports
Bank of America settles Enron case
Bank of America (BoA) has agreed to pay $69 million as part of an agreement to settle a class action lawsuit brought on behalf of purchasers of Enron securities and led by the Regents of the University of California (UC).
RWE signs up to Raft
RWE, the German utility company, has signed up to use Raft’s credit risk management technology, Raft Credit. Raft International, the London-based risk technology company, did not disclose the size of the contract.
Tepco hedges weather
The Tokyo Electric Power Company (Tepko) has entered into weather derivatives contracts with both Tokyo Gas Company and Osaka Gas Company. The deals have been finalised in a bid to limit the effect on Tepco’s earnings from summer temperature conditions,…
Munich Re launches weather desk
Munich Re, the world’s largest reinsurer, has established a New York-based weather derivatives desk in its Munich American Capital Markets division.
Spring loading
Abstract: In May’s Expert Series, LesClewlow and Chris Strickland discussedthe use of Monte Carlo simulation in energy risk management and introduced aseries of models that they argued were suitable for the simulation of energy-and weather-dependent…