2013 | 155 | 495-508
Article title

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

Title variants
The Change of Capital Risk Value Caused by the Dynamic Security of Electricity Call Options
Languages of publication
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.
Physical description
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Document Type
Publication order reference
YADDA identifier
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