Upravljanje rizikom i premija rizika spot i unaprijednih cijena na tržištu električne energije

master's thesis

• Title (english): Risk management and risk premia on spot and forward prices on power exchange market
• Author: Iva Tustanovski
• Mentor: Slavko Krajcar (mentor)
• Committee member: Slavko Krajcar (predsjednik povjerenstva)
• Committee member: Nenad Debrecin (član povjerenstva)
• Committee member: Nikola Čavlina (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2016-07-18, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Electrical Engineering

Abstract

Povećana transparentnost trgovanja električnom energijom dogodila se deregulacijom tržišta i sve većom primjenom financijskih instrumenata kako bi se osigurala kontinuirana opskrba te umanjili rizici od kolapsa elektroenergetskog sustava, ali i eventualnih negativnih posljedica na poslovanje tvrtke uzrokovanih iznenadnim promjenama cijena. Hrvatsko tržište je u skladu s trendovima na energetskom području također prešlo na novi model dereguliranog tržišta te tako postupno omogućilo povećanje konkurentnosti. Nastavno na to, hrvatska burza električne energije je nedavno krenula s radom za dan-unaprijed tržište po uzoru na Nord Pool tržište. S obzirom da cijene električne energije ovise o mnogo odrednica, kretanja na tržištu nisu jednostavna za predvidjeti te dionici tržišta žele ustanoviti što točniji model za predviđanje cijene i određivanje mogućih načina zaštite od rizika. U ovom radu predviđanje kretanja cijene te samim time i premije na rizik pokušalo se odrediti GARCH (1,1) modelom. Ustanovljeno je da volatilnost cijena točno prati pad ili rast prinosa što je pomoglo prilikom određivanja ponašanja svojevrsne premije na rizik. Korištenjem Sharpeovog omjera izračunata je tržišna cijena rizika i pokazano da je srednja vrijednost takve premije pozitivna što se podudara s istraživanjima iz ovog područja.

Tvrtke čije poslovne aktivnosti su povezane uz kretanje cijena električne energije su osjetljive na svaki znak volatilnosti cijena te iz tog razloga imaju potrebu koristiti različita sredstva upravljanja rizikom, od kojih je najraširenije financijske izvedenice, odnosno unaprijedni ugovori, ročnice i opcije. Provedena je kratka analiza sredstava kojima se različiti dionici na tržištu štite od negativnog rizika i ustanovljeno je da gotovo sve tvrtke koriste neki način živičarenja, ovisno o veličini tvrtke te tržištu na kojem posluju.

Abstract (english)

Deregulated market and increased application of financial instruments helped to improve market transparency in order to ensure continuous supply and reduce the risk of collapse of the power system, but also the possible negative consequences on the company's operations due to sudden price changes. Croatian market follows trends in the energy field as it has also moved to a new model of deregulated markets and thus it became possible to increase competitiveness. Further, the Croatian stock market electricity power exchange has recently started to work for the day ahead market modeled on the Nord Pool market. Given that electricity prices are dependent on many determinants, market movements are not easy to predict. Market stakeholders are looking to establish a more accurate model for predicting the rates and determine possible ways of hedging. In this paper, predicting price movements and thus the risk premium was aimed to determine with the GARCH (1,1) model. It was found that the volatility of prices accurately follows the fall or rise in yields which helped in determining the behavior of a risk premium. Using the Sharpe ratio market risk was calculated which has shown that the average value of such a premium is positive which is consistent with research in this area.

Companies whose business activities are related to the movement of electricity prices are sensitive to any sign of price volatility and therefore have a need to use different means of risk management, of which the most widely used are financial derivatives such as forwards, futures and options. Brief analysis was conducted in order to find out the means by which the various stakeholders in the market protect their companies against the negative risks. It was found that almost all companies use some way of hedging, depending on the size of the company and the market in which they operate.

• Keywords: rizik; premija; živičarenje; GARCH; volatilnost; deregulacija
• Keywords (english): risk; premia; hedging; GARCH; volatility; market deregulation
• Language: croatian
• URN:NBN: urn:nbn:hr:168:745941
• Study programme: Title: Electrical Engineering and Information Technology; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra inženjer/inženjerka elektrotehnike i informacijske tehnologije (magistar/magistra inženjer/inženjerka elektrotehnike i informacijske tehnologije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2018-02-06 14:12:23