Browsing by Author "Klavina, Anna"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    On estimating open position risk at the electricity forward market
    (Tartu Ülikool, 2014-06-18) Klavina, Anna; Kangro, Raul, juhendaja; Lassmann, Joosep, juhendaja; Tartu Ülikool. Matemaatika-informaatikateaduskond; Tartu Ülikool. Matemaatilise statistika instituut
    The aim of the thesis is to study the question of estimating the risks of electricity retailers when they offer clients contracts with fixed electricity prices for future periods and the question of choosing prices for such contracts so that the level of risk is acceptable for the company. In the theoretical part of the master thesis details of such contracts and derivation of prices of those contracts under no arbitrage condition are discussed as well as a brief electricity market description and a few models proposed for forward price modelling are given. In the practical part open position risk problem in electricity market is explored by using simulations based on historical data for forward prices and various probability distributions for the number of clients accepting the offers, their desired quantities of electricity and decision making times. In the result the risk premiums for given risk levels under various assumptions are found and conclusions about which of the model parameters are affecting the risk premium most strongly are made.