Electro-energetics - managing new risks
AbstractOne of the most significant changes in power industry was the start of trading on Prague Energy Exchange. This new phenomenon on the Czech electricity market brings some different types of risks in real life. In this paper are discussed topics concerning credit risk, market price risk and foreign exchange risk. In the part of credit risk there are introduced issues covered the introduction to the whole credit risk mechanism, the split of the risk between different risk holders and the tools serving to the risk mitigation. The market risk includes primarily the risk connected with the actual value of the futures contracts and its possible change, furthermore the liquidity and margining requirements due to market changes and mark to market evaluation are described. The foreign exchange risk derives from the fact that the price of exchange contracts and the payments are in euros, but the domestic currency is Czech crown. In focus are the possible changes in the contact value nominated in crowns due to exchange rate volatility, without any certain presumable trend. The models used to demonstrate the impact of the above mentioned factors are based on the Monte Carlo simulation methodology. Each demonstration uses a simple example, which clarifies the assumptions on which the simulations are calculated.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by University of Economics, Prague in its journal Ekonomika a Management.
Volume (Year): 2008 (2008)
Issue (Month): 3 ()
Postal: Redakce Ekonomika a management, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3
Find related papers by JEL classification:
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vaclav Subrta).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.