02980ntm a22005057a 4500 000263017 CZ-PrVSE 20140920002718.0 m d cr n|||||||||| 140920s2014 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Paholok, Igor ISIS:6453 dis Trhy s elektrickou energií a modelování v řízení rizik eng Power Markets and Risk Management Modeling [elektronický zdroj] / Igor Paholok 2014 ?? s. : digital, PDF soubor Vedoucí práce: Jiří Málek Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2014 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2014 The main target of this thesis is to summarize and explain the specifics of power markets and test application of models, which might be used especially in risk management area. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on Czech Republic. Thesis continues with development of theoretical concepts of short term/spot electricity markets and potential link between spot and forward electricity markets. After deriving of those microeconomic fundamental models we continue with stochastic models (Jump Diffusion Mean Reverting process and Extreme Value Theory) in order to depict patterns of spot and forward power contracts price volatility. Last chapter deals with credit risk specifics of power trading and develops model (using concept known as Credit Value Adjustment) to compare economic efficiency of OTC and exchange power trading. Developed and described models are tested on selected power markets, again with focus on Czech power market data set. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas Extreme Value Theory Jump Diffusion Mean Reverting Process Credit Value Adjustment Power Markets Málek, Jiří, 1953- mzk2003181803 ths Kodera, Jan jx20050428029 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/48656/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/48656 Hlavní práce https://isis.vse.cz/zp/48656/posudek/oponent/38788 Oponentura https://isis.vse.cz/zp/48656/posudek/oponent/38789 Oponentura http://isis.vse.cz/zp/86564/podrobnosti dc:identifier NEPOSILAT VSKP 86564 vse48656 140918