Knowledge Center

News & Highlights

Enterprise Risk Management needs to be developed in utility companies

10 November 2016
Two articles on Enterprise Risk Management from Energy Risk describing how ERM needs to be developed in the energy sector. Read more ›

KYOS' Presentation E-Mart: How can conventional generation survive in Europe?

7 November 2016
Last week KYOS was present at the EMART Energy Conference in Amsterdam. The conference... Read more ›

EU legislation will boost financial trading in sugar

13 October 2016
As a result of new EU legislation, the minimum sugar price will disappear. This means that floating contracts will replace traditional fixed price contracts. Read more ›

Higher spot price volatility: improved outlook for gas storage value

22 September 2016
In the last months the economic outlook for gas storage improved. The value of a gas storage depends largely on the volatility in the spot market, which increased substantially in the last months. When current market circumstances prolong, the outlook for gas storage improves significantly. Read more ›

Report: Multi billion euro loss for Dutch coal plants

5 September 2016
With the help of KYOS' fundamental market model. Spring Associates has calculated that the economic value of the two older Dutch coal plants equals €0.5 billion. The three new plants are valued at €3.2 billion, which is considerably lower than their respective construction costs. Read more ›

Live price curves for contract pricing and dispatch optimization

29 August 2016
It has become increasingly important to have immediate access to live market prices. For several applications within energy trading and pricing, it may be good enough to use end-of-day market prices, but live price curves are especially critical for pricing of contracts and power plant dispatch optimization. Read more ›

A practical example of hedging gas swing contracts

11 August 2016
This report shows how a trader could optimize his trading decisions in the gas spot market, while delta hedging the exposures in the forward market. The spot trades maximize the optionality of the contract, while the forward hedges limit the risk. Read more ›

The Brexit may lead to 10% higher GB power prices

21 June 2016
Now that the British population has voted for a Brexit, the consequences for the British electricity sector are misty. Using its fundamental analysis model, a KYOS market study indicates a rise of 9.5% in wholesale GB power prices. Read more ›

Combine fundamentals & Monte Carlo for better decisions

13 June 2016
KyPowerFundamentals combines power market fundamentals & Monte Carlo price simulations. The software offers a unique solution to take better strategic decisions in volatile energy market conditions. Read more ›

Improved shape TTF forward curve on pricecurves service

18 March 2016
KYOS is happy to announce it improved the shaping of the TTF forward curve. The TTF forward curve is made available on www.pricecurves.com. Read more ›

MRI and KYOS launch power price forward curve service in Japan

8 December 2015
The strategic partnership between KYOS and and Mitsubishi Research Institute, Inc. led to a new service for Japan’s electricity market. The service makes an electricity price forward curve available, which will serve as a benchmark for Japanese market players. Read more ›

AtRisk in KYOS Analytics

6 May 2015
New KYOS Analytical Platform for energy market players: improved risk management function, supporting both Value-at-Risk and Earnings/Cashflow-at-Risk. Read more ›

The fair value of the Bergermeer gas storage SBU

22 April 2015
What is a fair value of a gas storage facility? Case Study of Bergermeer facility, performed with KyStore. Read more ›

NEW: Price curves for CEE region

10 April 2015
New from KYOS: hourly price forward curves for CEE Region. Via the dedicated website www.pricecurves.com detailed price curves can be downloaded for Slovak, Hungarian and Romanian power. Read more ›

GasTerra storage 2014 valued at 3.04 Euro per SBU

18 February 2014
GasTerra offers virtual gas storage capacities in the Netherlands. For the third year in a row, KYOS performed an independent valuation of this product. The increase... Read more ›

GasTerra storage value declines further from 4.00 to 2.83 €

30 June 2013
KyStore software valuates GasTerra virtual gas storage capacities for second auction 2013/2014 capacity. Standard Bundled Unit (SBU) is estimated to be €2.83 (assuming 0% interest costs). This is 1.17 lower than estimated in November, and even 5.00 € lower than February last year. Read more ›

Gazprom VHP-NCG storage valued at 2.73 EUR/MWh

18 February 2013
Via an auction arranged by Store-x, Gazprom offers virtual gas storage lots connected to NCG. The auction is on 18 February 2013. The storage period... Read more ›

GasTerra virtual gas storage value declined with 49% to €4.00

22 November 2012
Via an auction arranged by APX-Endex, GasTerra offers virtual gas storage capacities in the Netherlands. Capacity will be sold for 2013/2014. Based on an independent... Read more ›

Publications

Cointegration between power and fuel prices stronger than ever

3 October 2016
KYOS calculated that in the German market the speed of cointegration between power and fuel prices increased. This is contrary to the common belief that power prices become less dependent on fuel prices due to the renewables penetration. Read more ›

White paper: Benefits of outsourcing energy analytics

30 June 2016
In the years 2000 energy companies built up large trading teams, with even larger teams for back office, middle office, portfolio management and risk management. Now that the times have changed, energy companies are forced to scale down rapidly. In this white paper publication, we describe how energy companies can reduce costs while improving their analytic capabilities and take better decisions. Read more ›

Energy Risk: implications of carbon floor on power plant hedging

20 May 2016
The UK carbon floor raises the cost of CO2 emissions by power producers and thereby increase power prices. The mechanism has important implications for the valuation of power stations. KYOS explains how the UK carbon floor impacts delta hedging of power stations. Read more ›

KYOS chapter in best-selling energy risk book by V. Kaminski: gas storage pricing and hedging

23 December 2015
Cyriel de Jong has completely rewritten his chapter on gas storage pricing and hedging, which provides an excellent description of the best-practice trading and valuation strategies for gas storage. Read more ›

Journal of Natural Gas Science and Engineering: Gas storage review article

18 May 2015
Various approaches have been suggested for the valuation of gas storage. Of those approaches, the most general ones are based on Monte Carlo price simulations. These approaches allow the evaluation of different market trading strategies and different assumptions about the underlying price process. Read more ›

KYOS report: Use renewable production information for a green price forward curve

19 March 2014
In this report we study the effect of renewable power production on the intra-day shapes in Germany. The analysis shows that green production is an important component. Furthermore, the report shows that the sensitivity to renewables varies per hour and weekday. Read more ›

White paper: How to effectively hedge the value of a power station

29 December 2013
Operators of power stations try to maximize the income from their assets. Power plant valuation models aim to predict the total value that can be made in a future time period. With delta hedging, this value can partly be locked. Read more ›

ET: How renewables shape the future

29 June 2013
In 2012, the German capacity of solar energy passed the 32 GW mark. Together with the growth in wind power generation, this has depressed market prices. In this article, we take a detailed look at how this is further going to shape future price levels Read more ›

White paper: Guidelines for valuation of real options in energy markets

29 May 2013
To improve power plant hedging decisions, a range of methodologies is available for forward curve building, Monte Carlo simulation, (stochastic) dynamic programming, and least-squares Monte Carlo. This document describes the main methodologies and provides a few tests for their quality, particularly focusing on power plants. Read more ›

Report: realize value with a gas storage in a difficult market

20 September 2012
Marcus Nossman, Cyriel de Jong, Hans van Dijken Summary: The years 2010 and 2011 have been a challenging period for many storage operators. Nevertheless, a substantial... Read more ›

Journal of Risk: Non-parametric forward looking Value-at-Risk

29 July 2012
This paper proposes a new model for computing Value-at-Risk forecasts. It incorporates information about the market’s perceived uncertainty about the future from volatility indices. Read more ›

Energy Risk: Comparing power plant delta hedging strategies

29 June 2012
A comparison of common delta-hedging strategies and calculations finds that simple formulas used to calculate delta hedges can lead to severe biases. This article presents a relatively fast, but more accurate calculation approach. It is based on a combination of Monte Carlo price simulations and dispatch optimization, using dynamic programming. Read more ›

Journal of Energy Markets: Gas storage valuation using a multi-factor price process

29 January 2012
In this paper we demonstrate the application of multi-factor Least-Squares Monte Carlo to gas storage valuation. We study the impact of using multi-factor price processes on different aspects of the valuation such as convergence, average storage value and distribution of storage values in a numerical example. Read more ›

Practical Derivatives: KYOS consultants write chapter about Energy Derivatives

13 December 2010
This new second edition shows how derivatives are used in a variety of transactions, how the documentation works and why boards need to be aware of them. KYOS director Cyriel de Jong wrote the chapter on Energy Derivatives. Read more ›

World Power: The value of starting up the power plant

29 June 2010
In this article we demonstrate the impact of various start-stop constraints and costs for the value of a power station. This impact analysis is possible by applying advanced techniques for generating realistic Monte Carlo price simulations in combination with techniques for optimizing the production pattern. Read more ›

Journal of Energy Markets: Cointegration between gas and power spot prices

6 March 2010
In this paper we show how cointegration can be applied to capture the joint dynamic of multiple energy spot prices. Our analysis shows that gas prices are strongly cointegrated, whereas cointegration of gas and power prices is at long-term forward price levels only. Read more ›

Journal of Derivatives: Gas storage valuation using a Monte Carlo method

19 August 2009
In this article, we develop a method for gas storage valuation using Monte Carlo (LSMC) techniques. The method incorporates realistic gas price dynamics and complex physical constraints. Specifically, we extend the Least Squares Monte Carlo method for American options to storage valuation. Read more ›

World Power: Realistic power plant valuations with cointegration

29 June 2009
Traditional net present value (NPV) analysis disregards the flexibility to adjust production decisions to market developments, and thus underestimate true plant value. On the other hand, methods treating power plants as a series of spread options ignore technical and contractual restrictions, and thus overestimate true plant value. In this article we demonstrate the use of cointegration to incorporate market fundamentals and calculate dynamic, yet reasonable, spread levels and power plant values. Read more ›

World Power: uncertainties in wind production often priced at too low levels

29 December 2008
This article describes the pricing and hedging of wind power contracts. It demonstrates that substantial discounts relative to baseload power prices are reasonable to cover the negative wind-price correlation and to cover the difficulty of hedging price risks. Read more ›

Commodities Now: Negative prices in electricity markets

20 July 2004
Commodities Now Publication about negative power prices by Cyriel de Jong (2003). Negative prices in electricity markets logo In this paper we describe how liberalisation has lead... Read more ›

Energy Power Risk Management: Gas hubs jockey for position

19 May 2003
According to a survey of European natural gas experts, the Bunde-Oude gas hub is the most likely candidate to become the Henry Hub of Europe. Read more ›

Energy Power Risk Management: Option pricing for power prices with spikes

4 February 2003
Energy Power Risk Management Publication by Cyriel de Jong and Ronald Huisman on option pricing in power markets (2003). Option pricing for power prices with spikes European... Read more ›

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