ISBN-10:
1899332545
ISBN-13:
9781899332540
Pub. Date:
01/28/1999
Publisher:
Risk Books
Managing Energy Price Risk / Edition 2

Managing Energy Price Risk / Edition 2

by Enron

Hardcover

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Overview

Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes.
  • Emphasises fixed income instruments rather than loans, where stochastic future exposures are modelled accurately
  • Examines loans, credit derivatives, interest rate derivatives with risky conterparties and convertible bonds
  • Provides a thorough analysis of the pricing and hedging of basket credit derivatives and other credit contingent products
  • Adapts credit derivative modelling techniques in order to price and hedge the credit component in fixed income derivatives
  • It provides a practical discussion of market frictions that impact credit trading
  • Complex theoretical issues are illustrated with an unusually high number of examples, tables and figures that have been designed with the practitioner in mind
  • It is self-sufficient. Proofs and technicalities are discussed in the appendices of each chapter

Product Details

ISBN-13: 9781899332540
Publisher: Risk Books
Publication date: 01/28/1999
Edition description: 2ND
Pages: 324
Product dimensions: 8.27(w) x 9.45(h) x (d)

Table of Contents

Preface                               
Contributors
Introduction
ENERGY INSTRUMENTS
1. Energy Swaps
2. Energy Options
3. Energy Exotic Options
4. Derivatives in Energy Project Finance
DEVELOPMENTS IN ENERGY MARKETS
5. The Oil Market
6. The Natural Gas Market
7. Competitive Electricity Markets Around the World: Aproaches to Prices Risk Managment
8. Regulatory and Legal Issues
RISK MEASUREMENT AND REPORTING
9. VAR, Stress-Testing and Supplementary Methodologies: Uses and Constraints in Energy Risk Managment
10. Credit Risk in Liberalised Power and Natural Gas Markets
11. Accounting for Derivative Contracts in an Energy Environment
TOOLS FOR RISK ANALYSIS
12. Power Forward Curves: A  Managerial Perspective Shankar Nagarajan of Deloitte & Touche L.L.P.
13. Arbitrage-Free Valuation of Energy Derivatives
14. Volatility in Energy Prices
15. Correlation and Cointegration in Energy Markets

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