Concept

Fuel price risk management

Publications associées (16)

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Pricing and Hedging of CDOs: A Top Down Approach

Damir Filipovic

This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipovic et al. (Math. Finance, forthcoming, 2009). We r ...

Springer-Verlag New York, Ms Ingrid Cunningham, 175 Fifth Ave, New York, Ny 10010 Usa2010

Agency conflicts and risk management

Erwan Morellec

This paper analyzes the relation between agency conflicts and risk management. In contrast to previous contributions, our analysis incorporates not only stockholder-debtholder conflicts but also manager – stockholder conflicts. We show that the costs of bo ...

2007

Multi-agent modelling of electricity markets

Abdelaziz Lahlou

This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...

EPFL2007

Benchmarking of hydroelectric stochastic risk management models using financial indicators

Matthias Finger, Pierre-André Haldi

The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...

2005

Investment decisions with flexibility under uncertainty in the competitive electricity supply industry

Jun Dong

The restructuring of the electricity supply industry (ESI) has introduced new actors and market mechanisms. Electricity prices are more market oriented and fluctuate greatly. These changes bring about more uncertainties and risks to the market participants ...

EPFL2004

Energy Business and Finance Policy - Parallels in Methodology and Duties

Daniel Kuhn

The ongoing deregulation of electricity markets worldwide has a major impact on the power industry. New price risks require new risk management tools and new methods for the valuation of generation and transmission assets as well as existing (physical) ele ...

Forschung im Verbund2003