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Full-Text Articles in Business
Risk Management And Hedging Approaches In Energy Markets, Jim Hanly
Risk Management And Hedging Approaches In Energy Markets, Jim Hanly
Articles
Energy based assets are showing increased susceptibility to volatility arising out of geo-political, economic, climate and technological events. Given the economic importance of energy products, their market participants need to be able to access efficient strategies to effectively manage their exposures and reduce price risk. This chapter will outline the key futures based hedging approaches that have been developed for managing energy price risk and evaluate their effectiveness. A key element of this analysis will be the breadth of assets considered. These include Crude and Refined Oil products, Natural Gas, and wholesale Electricity markets. We find significant differences in the …
Operationalizing Learning From Rare Events: Framework For Middle Humanitarian Operations Managers, Amr Mahfouz, Ashraf Labib, Sara Hadleigh-Dunn, Marco Gentile
Operationalizing Learning From Rare Events: Framework For Middle Humanitarian Operations Managers, Amr Mahfouz, Ashraf Labib, Sara Hadleigh-Dunn, Marco Gentile
Articles
The purpose of this paper is to investigate the learning from rare events and the knowledge management processinvolved, which presents a significant challenge to many organizations. This is primarily attributed to the inability tointerpret these events in a systematic and “rich” manner, which this paper seeks to address. We start by summarizing therelevant literature on humanitarian operations management (HOM), outlining the evolution of the socio-technical disasterlifecycle and its relationship with humanitarian operations, using a supply chain resilience theoretical lens. We then out-line theories of organizational learning (and unlearning) from disasters and the impact on humanitarian operations. Subse-quently, we theorize the …
Managing Energy Price Risk Using Futures Contracts: A Comparative Analysis, Jim Hanly
Managing Energy Price Risk Using Futures Contracts: A Comparative Analysis, Jim Hanly
Articles
This paper carries out a comparative analysis of managing energy risk through futures hedging, for energy market participants across a broad dataset that encompasses the largest and most actively traded energy products. Uniquely, we carry out a hedge comparison using a variety of risk measures including Variance, Value at risk (VaR), and Expected Shortfall as well as a utility based performance metric for two different investor horizons; weekly and monthly. We find that hedging is effective across the spectrum of risk measures we employ. We also find significant differences in both the hedging strategies and the hedging effectiveness of different …
Volatility And Risk Management In European Electricity Futures Markets, Jim Hanly, Lucia Morales
Volatility And Risk Management In European Electricity Futures Markets, Jim Hanly, Lucia Morales
Articles
This paper estimates and applies a risk management strategy for electricity spot exposures using futures hedging. We apply our approach to three of the most actively traded European electricity markets, Nordpool, APXUK and Phelix. We compare both optimal hedging strategies and the hedging effectiveness of these markets for two hedging horizons, weekly and monthly using both Variance and Value at Risk (VaR). We find significant differences in both the Optimal Hedge Ratios (OHR’s) and the hedging effectiveness of the different electricity markets. Better performance is found for the Nordpool market while the poorest performer in hedging terms is Phelix. However …
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Articles
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of …