PL EN


2013 | 155 | 495-508
Article title

Zmiana wartości kapitału ryzyka pod wpływem zastosowania dynamicznego zabezpieczenia opcji zakupu energii elektrycznej

Content
Title variants
EN
The Change of Capital Risk Value Caused by the Dynamic Security of Electricity Call Options
Languages of publication
PL
Abstracts
EN
Progressing liberalization and electricity market development in Poland results increase of competitiveness. The new products being offered to customers are increasingly more complex and sophisticated. Accordingly, it requires a challenge for both portfolio and risk management skills. Considering market risk peculiarity within the frame of energy market as well as lack of energy derivatives market - including options contracts, position's hedging becomes very difficult. Hedging efficiency determines risk exposure and furthermore risk capital demand. Dynamic hedging approach described in this paper has been focused especially on short position in call option, written as a compliment - additional value for customer. The main purpose of presented approach is to provide stable enough financial performance and adequate risk's yield premium.
Year
Volume
155
Pages
495-508
Physical description
Contributors
References
  • Alexander C., Sheedy E., Aziz A., Rosen D.: Capital Allocation and RAPM. W: The Professional Risk Managers' Handbook. Vol. III: Risk Management Practices. PRMIA 2004.
  • Best P.: Wartość narażona na ryzyko. Oficyna Ekonomiczna, Kraków 2000.
  • Black F., Scholes M.: The pricing of options and corporate liabilities. "The Journal of Political Economy" 1973, Vol. 81 (3).
  • Cesari G. i in.: Modelling, Pricing, and Hedging Counterparty Credit Exposure. A technical guide. Springer Verlag, Berlin 2009.
  • Hull J.C.: Options, Futures, And Other Derivatives. Pearson 2012.
  • Introduction and executive summaries of CCRO recommendations. Committee of Chief Risks Officers 2002.
  • Jajuga K., Jajuga T.: Inwestycje, instrumenty finansowe, aktywa niefinansowe, ryzyko finansowe, inżynieria finansowa. WN PWN, Warszawa 2008.
  • Michalski D., Krysta B., Lelątko P.: Zarządzanie ryzykiem na rynku energii elektrycznej. IDWE, Warszawa 2004.
  • Rao V.: The Significance of Economic Capital to Financial Institutions. W: Economic Capital. A Practitioner Guide. Ed. A. Dev. Risk Book, London 2004.
  • Zerka M.: Mechanizmy rynkowe w elektroenergetyce. Zagadnienia wybrane. Instytut Doskonalenia Wiedzy o Rynku Energii Sp. z o.o., Warszawa 2001.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-639b0d03-ff58-4148-b2d0-1e31913a5551
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.