Value at Risk models in Energy Risk Management
| Thesis title: | Value at Risk models for Energy Risk Management |
|---|---|
| Author: | Novák, Martin |
| Thesis type: | Diploma thesis |
| Supervisor: | Hnilica, Jiří |
| Opponents: | Sieber, Patrik |
| Thesis language: | Deutsch |
| Abstract: | Ziel und Zweck der Arbeit besteht in Beurteilung und Beschreibung das Risikomanagement auf dem Gebiet Energiehandel. Die Arbeit analysiert das Risikomaß Value at Risk und die Varianten - LVaR, CVaR oder mVaR. |
| Keywords: | Value at Risk; Strom; Energiehandel; Risikomanagement; Energieträgern; Finanzderivate |
| Thesis title: | Value at Risk models in Energy Risk Management |
|---|---|
| Author: | Novák, Martin |
| Thesis type: | Diploma thesis |
| Supervisor: | Hnilica, Jiří |
| Opponents: | Sieber, Patrik |
| Thesis language: | Deutsch |
| Abstract: | The main focus of this thesis lies on description of Risk Management in context of Energy Trading. The paper will predominantly discuss Value at Risk and its modifications as a main overall indicator of Energy Risk. |
| Keywords: | Commodity; Risk Management; Energy Trading; Value at Risk; Derivatives |
| Thesis title: | Value at Risk models for Energy Risk Management |
|---|---|
| Author: | Novák, Martin |
| Thesis type: | Diplomová práce |
| Supervisor: | Hnilica, Jiří |
| Opponents: | Sieber, Patrik |
| Thesis language: | Deutsch |
| Abstract: | Hlavním cílem práce je popsat a představit Risk Management v kontextu obchodování s energetickými komoditami a především popsat ukazatel Value at Risk a jeho hlavní modifikace jako hlavní měřítko rizika. |
| Keywords: | Value at Risk; Finanční deriváty; Komodity; Energy Trading; Risk Management |
Information about study
| Study programme: | Ekonomika a management/International Management |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Business Administration |
| Department: | The Department of Business Economics |
Information on submission and defense
| Date of assignment: | 19. 10. 2010 |
|---|---|
| Date of submission: | 10. 8. 2011 |
| Date of defense: | 20. 9. 2011 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/28268/podrobnosti |