Tid: 16 juni 2014 kl 15.15-16.00.Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
Föredragshållare: Oskar Ericsson
Titel: Risk Analysis Against Electricity Market Index and Portfolio Optimisation
Abstract There has been a lack of a transparent index to compare electricity portfolios against for many years. Most industrial firms hedge the risks for their electricity needs by buying forward contracts which guarantee the price of a certain amount of power for a year or part of a year. The problem is to know if the company has made good deals since the available comparisons are average spot prices. In this thesis the objectives are to construct a relevant index and then evaluate possible portfolios against this index, giving risk measures such as Value-at-Risk and Expected Shortfall. The resulting index buys a small part of the needed power amount to each trading day's closing price of the forward contracts traded by the portfolio. Thus, the index buys the volume wanted power amount divided by number of trading days of the used forward contracts each trading day the contracts are available. Another objective is to suggest an optimal trading policy that minimise the expected portfolio cost based on historical price data. This is evaluated by constrained optimisation algorithms. Suggestions for the optimal hedge volumes and when to buy the forward contracts are given based on the historical prices. This reveals how expensive different forward contracts are relative to spot prices for the respective period.
|Sidansvarig: Filip Lindskog