Browsing by Subject "johdannaismarkkinat"

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  • Javanainen, Timo (2007)
    Market risk is among the most important sources of risk for companies in the financial and commodity markets. Proper estimation of market risk has become very important in the electricity market, where volatility is very high and trading volumes continue to increase. Value at Risk (VaR) is the most widely used approach to quantify market risk. The aim of this thesis is to study how well analytical VaR methods can be applied to trading portfolios of electricity derivatives. The objectives of the thesis are: 1. To study how the financial electricity market differs from the financial markets and other commodity markets, and what are the implications of these differences to the estimation of market risk 2. To study which analytical VaR methods provide the best results in the financial and commodity markets 3. To study how well these analytical VaR methods perform in estimating the daily market risk for portfolios of electricity derivatives and conclude the implications of this performance to the Nordic electricity market 4. To give recommendations on how the market risk of portfolios of electricity derivatives should be measured in the financial electricity market. Several studies show that due to the non-storability of electricity, the dynamics of the forward curve in financial electricity market differ from other commodity markets. Both the literature study and statistical analysis done in this thesis reveal that the return distributions of Nord Pool traded electricity forwards exhibit fat tails and are skewed. The non-normality of risk factor returns causes some challenges for VaR estimation. In this thesis, the most prominent analytical VaR methods are identified based on the literature study and assessed with a thorough backtesting procedure. The statistical analysis and backtesting conducted in this thesis are unique in terms of focus and scope. The results show that using the studied VaR methods in the Nordic electricity market underestimates market risk. Practical recommendations on using VaR methods are given to market participants. The MATLAB implementation done in connection to this thesis is of considerable extent and could be used by a small or medium size company to estimate its market risk.
  • Holopainen, Jukka (2001)
    Tutkielman tarkoituksena on aikaisemman tutkimuksen esittelyn kautta luoda analyyttinen pohja koronvaihtosopimusten eli korko-swapien hinnanmuodostumisen ymmärtämiselle ja hinnanmuodostumisen empirian tarkastelulle. Tutkielmassa estimoidaan USD swap spreadin pitkän aikavälin tasapainoyhtälö kahdelle eri maturiteetille, viidelle ja kymmenelle vuodelle. Tutkielman havaintoaineisto kattaa periodin 1.4.1997-25.1.2001. Koronvaihtosopimuksessa osapuolet sopivat vaihtavansa tulevaisuuden kassavirtoja sovitun maksuaikataulun puitteissa. Tässä mielessä koronvaihtosopimus on sarja termiinisopimuksia peräkkäisille periodeille. Koronvaihtosopimus on odotusarvoisesti nollasummapeliä. Siitä huolimatta koronvaihtosopimusten volyymi on viimeisten kahdenkymmenen vuoden aikana kasvanut räjähdysmäisesti. Nopean volyymin kasvun perusteella koronvaihtosopimusten solmiminen ei voi olla pelkkää nollasummapeliä. Käyttöä selittävät positiiviset ulkoisvaikutukset. Positiivisia ulkoisvaikutuksia syntyy, kun koronvaihtosopimuksella vähennetään epäsymmetrisen informaation aiheuttamia rahoituskustannuksia. Hinnanmuodostumisen empiirinen tarkastelu tukeutuu tutkielman aikaisempiin kappaleisiin. Tutkielmassa tarkastellaan koronvaihtosopimusten instituutiota, hinnoittelun riippuvuutta muista rahoitusinstrumenteista, teorioita koronvaihtosopimusten solmimisesta sekä aikaisempaa empiiristä tutkimusta. Tutkielmassa pyritään identifioimaan laajan kirjallisuuskatsauksen avulla koronvaihtosopimusten erityisominaisuuksia, jotka saattavat vaikuttaa koronvaihtosopimusten hinnanmuodostumiseen. Koronvaihtosopimusten hinta ilmaistaan koronvaihtosopimuksen koron ja samanpituisen riskittömän koron erotuksena, swap spreadina. Tutkielman tulosten perusteella koronvaihtosopimusten hinta, swap spread, riippuu läheisten substituuttien hinnoista. Lisäksi koronvaihtosopimuksessa on sen hintaan vaikuttavia uniikkeja ominaisuuksia. Näitä ominaisuuksia ovat: dealermarkkinarakenteesta johtuvat suojauskustannukset, koronvaihtosopimuksen optiomaisia piirteitä sisältävä vastapuoliriski sekä koronvaihtosopimusten käyttö epäsymmetrisestä informaatiosta johtuvien kustannusten alentamiseksi. Edellä mainitut ominaisuudet vaikuttavat empiirisen mallin perusteella, läheisten substituuttien hintojen lisäksi, erittäin todennäköisesti swap spreadiin sekä lyhyellä että pitkällä aikavälillä. Estimoidun mallin tuloksia: TED spreadin kasvaessa viiden vuoden swap spread kasvaa ja bond spreadin kasvaessa kymmenen vuoden swap spread kasvaa. Kumpikin swap spread pienenee, kun tuottokäyrän kulmakerroin jyrkkenee. Dealerin suojaustuoton lisääntyminen kasvattaa kumpaakin swap spreadia. Lisäksi rahoitusmarkkinoiden implisiittisen volatiliteetin kasvassa kumpikin swap spread kasvaa.
  • Stålhandske, Ville (Helsingin yliopisto, 2017)
    Crude ol is the most traded commodity in the world. Oil and oil products are very important mediums of trade, and therefore these mediums are also traded in the derivative markets. The value of derivatives and “paper oil” markets is nowadays many times higher than the value of the physical crude oil market. Oil refineries, the end-users of oil products and investors plus speculators have all a significant impact on the market, and together they create the balance of price level. In this thesis, the difference between present spot prices and future forward prices was researched. The results show whether the oil refinery could make a profit by using forwards instead of spot prices for purchasing crude oil and for selling the refined oil products. A general hypothesis is that, on average, forwards are not profitable. This hypothesis holds only if the markets are efficient and all the participants have equivalent information at their disposal. If this is not the case, the markets do not work efficiently, or the balance of supply and demand is not stable. In this thesis, both realized prices and forward prices are examined for the period between 2010 and 2016. The prices and forwards are European market prices, and they are based on the Brent crude oil and Brent-based products. Monthly averages for prices, calculated by daily prices, are used in all the tests and the analysis. The maturities of forwards varied from 1 month to 12 months. The results show that the refiner would have made extra profit by selling especially jet and diesel by using long-run (12 months) forwards. The error term of spot and forward prices was systematic and statistically significant. Hedging the sales of heavy fuel oil (HSFO) by using forwards would also have been, on average, profitable. Nevertheless, the fundament of HSFO is not as clear as jet and diesel. Jet, diesel and HSFO constitute about 2/3 parts of the total production capacity (by volume) of Company X. By hedging the jet, diesel and HSFO, the company could have increased the gross margin by approximately 18 % between 3/2012-12/2016. This means that the gross marging would have increased by about 2 USD/bbl (11.3 vs 13.3 USD/bbl). The results clearly state that the demand for specific forwards (and products) exceeded the supply side in the period studied. This was evident in the higher forward prices compared to realized spot prices. The reason for these findings might be the fact that the end users of jet, diesel and HSFO typically want to secure the level of costs in advance. Airline companies, for example, have to know their cost of fuel to be able to set the price of flight tickets up to one year beforehand. In addition, it is important to notice that Europe is dependent on imported jet and diesel. On the oher hand, the results can be interpreted in a way that the refiners do not want to sell their production in advance. In general, this can be seen in the way that the producers are always waiting for a sudden unexpected shock in the demand side, and therefore the pricing position is kept open. Based on the findings, the supply of crude oil was not profitable. Many estimations of the price of crude oil have been made based on different data sets, and based on the literature, forecasting is very difficult. In addition, hedging gasoline or naphtha production by forwards was not, on average, profitable. Nevertheless, by short run maturities (3–4 months), and in certain conditions, hedging the gasoline would have been profitable. The time period investigated in this thesis saw extreme fluctuation in crude oil pricing. Brent price varied from 35 USD/bbl to 125 USD/bbl. In addition, the time period included both extreme increases and decreases in price. The results might be partly explained by the fluctuations and relatively high level of the price of crude oil. Brent crude oil as an explanatory variable for the price of oil products was also tested in this research. The price of crude oil has explanatory power for the forward values of jet, diesel and HSFO. However, the Brent price could not be used as an explanatory variable for the profitabily of hedging those above-mentioned cracks. Other products (gasoline, naphtha and DFL) did not depend on the price of crude oil as much. In this case, it can be assumed that hedging jet, diesel (and gasoil) and HSFO would be profitable in the near future as well. Then again, many global, political and economical aspects certainly have an effect on the oil markets. Analyzing these aspects is considered to be nearly impossible, and this causes some uncertainty to the forecasting process.