Understand factors causing shifts in supply and demand
Predict how shifts in supply and demand influence price and price volatility in a market
Understand the relationship between risk and return
Use VaR to assess portfolio risk
Use derivatives to hedge market risk
The first part of the course covers the different parts of a market equilibrium. It will be shown how different factors influence supply and demand. This provides the tools to investigate the price determination process for commodities and assets as well as how market characteristics influence price volatility.
The second part will cover portfolio theory and risk management. Portfolio theory explains the relationship between risk and return and this course will provide a set of tools for portfolio analysis. In particular, Value-at-Risk (VaR) is explained. VaR is a method used in financial markets and for regulatory purposes to estimate the worst-case scenario for a portfolio, and is estimated using parametric, historical and Monte Carlo estimation methods.
The third part deals with commonly applied market based instruments to deal with price risk, such as futures contracts, swaps and options. This will include the role of speculation in commodity markets. We will also look at management of commodity stocks (storage), and its influence on price determination and price volatility, including the relationship between spot and futures markets.
Required prerequisite knowledge
Recommended previous knowledge
|Written exam||1/1||4 hours||A - F||Calculator. |
- Course teacher
- Atle Øglend , Roy Endre Dahl , Frank Asche
- Course coordinator
- Sigbjørn Landazuri Tveteraas
- Head of Department
- Tore Markeset
Method of work
|Economics of Energy Markets (MØA285_1)||5|
Compendium with excerpts from C. Alexander. Market Risk Analysis vol. IV: Value-at-Risk models. (ISBN 978-0-470-99788-8), and other relevant articles for the second part.
Supplementary notes to part 3 of the course will be handed out
Sist oppdatert: 23.01.2020