KYOSKYOS

Experts in energy modeling, consulting and training!

KYOS offers specialized advise on trading and risk management in energy markets. Our expert team has years of experience in quantitative modelling and advisory services in commodity markets. Our sophisticated solutions are developed to support decision making, investment proposals and risk calculations. KYOS has a clear focus on the following areas: Products, Consulting and Training.

Visit www.kyos.com for more information about Kys energy consulting or this topic.

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    Highlights

    Kyos Consulting - News & Highlights

    Publications - Risk & Pricing

    Overview:

    ► Non-parametric Forward Looking Value-at-Risk (Journal of Risk, 2012)

    Risk Management of cointegrated commodities (Lund University research paper, 2011)

    ► Practical Derivatives: A transactional approach (Globe Law and Business, 2010)

    Cointegration between gas and power spot prices (Journal of Energy Markets, 2009)

    ► Option formulas for power prices with spikes (ERIM Research Paper, 2003)

    ► The nature of power spikes: A regime-switch approach (Studies in non-linear Dynamics and Econometrics, 2006)

    ► A guide to emissions trading (Risk Books, 2004)

    ► Managing Energy Price Risk (Risk Books, 2004)

    See also:
    Power market publications. Click here.
    Gas market publications. Click here.


    Non-parametric Forward Looking Value-at-Risk

    Journal of Risk 2012
    Marcus Nossman (KYOS) and Anders Vilhelmsson (Lund University)

    Summary: 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.

    click here to download


    Risk Management of cointegrated commodities

    Lund University research paper, 2011
    Karl Larsson (Lund University) and Marcus Nossman (KYOS)

    Summary: Coal, natural gas, CO2 and electrical power are examples of commodities with strong interrelations. Using co-integrated price processes for these commodities implies much more realistic price distributions for spark and dark spreads. We apply the estimated models, with and without co-integration, to the calculation of Value-at-Risk for different spread positions. Our results show that ignoring co-integration can lead to drastically overestimated Value-at-Risk and excessive capital requirements.

    click here to download


    Practical Derivatives: A transactional approach (book, 2nd edition)

    Globe Law and Business, 2010
    Book edited by Jonathan Denton
    Chapter about energy derivatives written by KYOS consultants Cyriel de Jong and Christopher Clancy

    Summary: The book shows how derivatives are used in a variety of transactions, how the documentation works and why boards need to be aware of them. This accessible book takes a transactional approach and features coverage of new product innovations. These include equity and energy derivatives and the expansion of derivatives into new markets such as credit risk, weather risk and property. The book also features topical analysis on corporate governance and directors' duties; ISDA documentation (including coverage of GMRAs); collateral; close-out netting and structured derivatives.

    click here to review the book contents

    Cointegration between gas and power spot prices

    Journal of Energy Markets, Fall 2009
    Cyriel de Jong (KYOS) and Stefan Schneider (EON Energy Trading)

    Summary: In this paper we show how cointegration can be applied to capture the joint dynamics of multiple energy spot prices. As an exemplary system we study the Title Transfer Facility, the Zeebrugge gas spot market and the National Balancing Point gas spot market, and, additionally, the Amsterdam Power Exchange power spot market, since these markets are strongly connected in terms of physical transportation and generation of power from gas.

    click here to download


    Option formulas for power prices with spikes

    ERIM Reasearch Paper, 2003
    Cyriel de Jong and Ronald Huisman (Rotterdam School of Management at Erasmus University)

    Summary: Electricity prices are known to be very volatile and subject to frequent spikes due to system breakdown, demand shocks, and inelastic supply. Appropriate pricing, portfolio, and risk management models should incorporate these characteristics. We develop a framework to price European-style options that are consistent with the possibility of market spikes. The pricing framework is based on a regime-switch model that disentangles mean-reversion from the spikes. This regime-switch model has been further refined and implemented by KYOS in its KySim simulation software.

    click here to download


    The nature of power spikes: A regime-switch approach

    Studies in non-linear dynamics and econometrics, 2006
    Cyriel de Jong (KYOS)

    Summary: We test what time-series model is best able to capture the dynamics of these disruptive spot prices. We use regime-switching models to infer whether the price spikes should be treated as abnormal and independent deviations from the ‘normal’ price dynamics or whether they form an integral part of the price process. We test the time-series models on day-ahead markets in Europe and the US. Differences between markets are largely attributable to the share of hydro-power in the total supply stack: hydro-power serves as an indirect means to store electricity, which has a dampening effect on spikes.

    click here to download


    A guide to emissions trading (Book)

    Risk Books, 2004
    Edited by Kasper Walet and Cyriel de Jong

    Summary: This multi-contributor volume draws upon the very best international experience and a host of practical examples to offer advice to deal with emissions trading programmes. Written at the start of the EU emission trading scheme, it discusses risk and compliance issues and best practices. With contributions of Baker McKenzie, Ecosecurities, Climate Investors, CO2e, Eurelectric, PointCarbon, Vertis Finance and several more.

    click here to view the book contents


    Managing Energy Price Risk (Book)

    Risk Books, 2004

    Book edited by Vince Kaminski
    Chapters about Gas Storage Valuation and Emission Trading written by: Cyriel de Jong and Kasper Walet

    Summary: The book provides a complete review of the current state of the energy markets, with insights into how leading practitioners, academics and regulators are tackling the issues and developments. All the main energy areas including natural gas, oil, coal and electricity as well as related markets such as emissions are covered within five easily accessible sub sections.

    click here to view the book contents

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