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Energy Risk Management in Practice

: Hinderks, Wieger Johan; Wagner, Andreas; Oktoviany, Prilly


Goutte, S.:
Handbook of Energy Finance: Theories, Practices and Simulations
Singapore: World Scientific Publishing, 2020
ISBN: 978-981-3278-37-0
ISBN: 978-981-3278-38-7
ISBN: 978-981-3278-39-4
ISBN: 981-3278-37-4
Aufsatz in Buch
Fraunhofer ITWM ()

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.