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An analysis and a risk of spot energy contracts
Martinec, Adam ; Paholok, Igor (advisor) ; Fičura, Milan (referee)
This diploma thesis deals with spot energy trading in the Czech Republic. The first section focuses on legal market environments, market members, and types of individual markets. This serves as an introduction to the second and the final section, which answers the question of the advantageousness of spot energy trading. The final section illustrates a practical demonstration of an optimization analysis of energy costs in a particular company. The contribution of this thesis, in my opinion, is the practical description of the calculation of energy costs in one company or an association of companies, which are considering the spot energy purchase, and a transfer of the responsibility for the deviation.
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Trhy s elektrickou energií a modelování v řízení rizik
Paholok, Igor ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Budinský, Petr (referee)
The main target of this thesis is to summarize and explain the specifics of power markets and test application of models, which might be used especially in risk management area. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on Czech Republic. Thesis continues with development of theoretical concepts of short term/spot electricity markets and potential link between spot and forward electricity markets. After deriving of those microeconomic fundamental models we continue with stochastic models (Jump Diffusion Mean Reverting process and Extreme Value Theory) in order to depict patterns of spot and forward power contracts price volatility. Last chapter deals with credit risk specifics of power trading and develops model (using concept known as Credit Value Adjustment) to compare economic efficiency of OTC and exchange power trading. Developed and described models are tested on selected power markets, again with focus on Czech power market data set.
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Optimal parameters of risk management for electricity trader
Jančová, Lenka ; Paholok, Igor (advisor) ; Kovačovská, Lenka (referee)
The priority of this work is to show the importance of risk management and the proper operation in electricity trading companies. In the theoretical part of the thesis are summarized basic information about the energy market in the Czech Republic and also a brief overview of the risks observed in the electricity trading. In recent years there have been several cases where a company did not observe their risks or even did not monitor these risks at all. This had a negative impact on the entire Czech energy market. In the practical part of this thesis are described the cases of companies Moravia Energo a.s. and Korlea Invest a.s., setting its risk management and also consequences of their falls. Furthermore, this work describes the different tools to support risk management, which are not the cheapest definitely. Also work contains an example of calculating the limits for credit exposure of the two companies that I calculated based on the analysis of the annual reports of these companies and I managed to get a lot of interesting information during writing this work that the reader will definitely appreciate.
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Measurement and management of commodity risk
Pochylý, Lukáš ; Málek, Jiří (advisor) ; Paholok, Igor (referee)
This thesis deals with commodity risk and its context. It concerns the commodity market, types of traded commodities, exchanges on which commodities are traded and pricing method usual for commodity market. The first section of the thesis consists of a theoretical perspective on measuring commodity risk and describes the derivatives used to hedging commodities. In the second section is a key part of the work calculations of the statistical characteristics of commodities, practical methods of measuring risk, modeling Value at Risk, stress scenarios and measuring risk using hedging transactions in the financial market. The aim is to measure the commodity risk for various risk situations on a commodity market.
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The market ancillary services in the CR
Zváč, Marek ; Paholok, Igor (advisor) ; Baran, Jaroslav (referee)
This bachelor thesis deals with the market ancillary services in the electricity industry of the Czech Republic. The first theoretical part defines basic concepts related to electricity and explains the gradual liberalization of the market impact of trade in electricity in the CR. The emphasis is on ancillary services as a means of the transmission system operator to balance the balance of generation and consumption. The work is mainly devoted to the description of ancillary services division, reinsurance, regulatory and accounting for the variations. The practical part is devoted to analysis of market ancillary services through analysis of the resource base, development of systemic bias and price ancillary services in selection procedures and the daily market.
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Trading natural gas
Šinkovic, Michal ; Paholok, Igor (advisor) ; Šoltés, Viktor (referee)
This thesis describes systems of natural gas trading in the USA and Europe. Most of the work is devoted to the natural gas trading system typical for the US market. It consists of four parts, the first part explains the operation of the gas industry. The second part describes how physical trading of natural gas (with delivery) work. In the third part I focus on the financial market and the last part of my thesis explains some structured transactions.
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Wholesale electricity market
Lipták, Marek ; Paholok, Igor (advisor)
This thesis concerns with entire electric power market focusing on wholesale market in the Czech Republic. In the first part it describes electricity as a commodity and in the following parts describes changes that recently took place in power engineering sector. The thesis furthermore describes electricity delivery, electricity trade and at the end it analyzes the electricity price.
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Trader`s risks in wholesale energy market
Martinec, Adam ; Paholok, Igor (advisor)
Bachelor thesis focuses on analysis of risks borne by traders in wholesale energy market. It describes position of traders in energy exchange and OTC electricity market. It determines size of four basic financial risks (credit risk, market risk, liquidity risk and operational risk) depending on kind of the market. The last part of the thesis is dedicated to the determination of circumstances favoring the Power Exchang Central Europe over the OTC market, using the implementation of Credit Value Adjustment.
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commodity futures on precious metals
Schwartz, Peter ; Málek, Jiří (advisor) ; Paholok, Igor (referee)
The aim of the thesis is to clarify the importance of diversifying investment portfolios with the help of precious metals at the present time and to analyze the fluctuation of precious metals market in terms of demand, supply and price developments. The core of the thesis focuses on analysis of the market of precious metals from 1998 to 2011 The used work method is comparison of precious metals between themselves and the world stock indices, the method of analysis in separate calculations of indicators, the method of deduction from the results of calculations.
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Trading with commodity derivates, specialy electrical power
Hudeček, Lukáš ; Málek, Jiří (advisor) ; Paholok, Igor (referee)
Trading with electrical power is not the domain of few, chosen economic subjects anymore. My thesis describes in details contracts of this useful commodity. Rules of trade are determined by energy branch of an exchange. The same case is as well Power Exchange Central Europe, which determines commodity contracts and defines particular parameters and rules of trading. Part of the thesis is dealing with possible market positions and provides a product overview of energetic commodity. Final results of trading at PXE in recent years are analyzed and compared with real contracts on German exchange market. The end is focused on possible purchasing strategies of electrical power.
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