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Evaluation of Residual Shape Risk: Gas Energy Markets
Kouřílek, Jakub ; Janda, Karel (advisor) ; Schwarz, Jiří (referee)
The thesis evaluates and quantifies the residual shape risk on the Czech nat- ural gas market. The risk stems from insufficient liquidity of forward mar- ket, when energy supplier has to hedge his short shaped sales by standard baseload products available at wholesale market. Hence, energy supplier is always left with residual position, which has to be closed at spot market. We model the residual shape risk as a difference between spot and forward prices weighted by residual position, which is derived from the shape of innogy En- ergie, s.r.o. household portfolio. In order to do so we develop model for a spot price dynamics based on the daily index OTE. We price forward contracts as expected spot price at delivery. The spot price dynamics is modelled as a mean-reverting Ornstein-Uhlenbeck process, while assuming two different driving stochastic processes for innovations. First, we model them as a mixed jump diffusion process. Second, we estimate control model assuming innova- tions to come from the normal inverse Gaussian distribution. The residual shape risk is then evaluated by Monte Carlo simulation of spot price paths, which we use for hedging the portfolio shape. Five percent Value-at-Risk and the Expected Shortfall measures for the jump mixed diffusion process yield costs of 0.013 and 0.016 EUR/MWh,...
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Does the Shale Gas Revolution Mean the End of Biofuels?
Kouřílek, Jakub ; Janda, Karel (advisor) ; Luňáčková, Petra (referee)
World effort to reduce climate changes drives demand for more environmen- tally friendly alternative fuels, since transport emits quarter of total green- house gas emissions. For many years biofuels were main mean for achieving more green transport. Nevertheless, there are rising concerns that some of biofuels have negative environmental and social impacts sometimes worse than fossil fuels. This work links European Union's biofuels development with expansion of natural gas caused by exploitation from shale formations. We examine relationship between biodiesel, natural gas and relevant com- modities by using the price transmission framework. Results indicate weak slowly increasing negative price relation between biodiesel and natural gas. Our work finds favourable legislation for future application of natural gas vehicles. Nonetheless, we conclude that the expansion will not be driven by exploitation of shale gas at European Union territory. 1
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