Construction of management systems for energy portfolios and market risks

2016 Fiscal Year Final Research Report

• Project/Area Number: 25282087
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: University of Tsukuba
• Principal Investigator: Yamada Yuji 筑波大学, ビジネス科学研究科(系), 教授 (50344859)
• Co-Investigator(Kenkyū-buntansha): 牧本 直樹 筑波大学, ビジネスサイエンス系, 教授 (90242263) ; 後藤 順哉 中央大学, 理工学部, 教授 (40334031) ; 高嶋 隆太 東京理科大学, 理工学部, 講師 (50401138)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: ファイナンス / エネルギー / ポートフォリオ / 市場リスク / 統合リスク管理

Outline of Final Research Achievements

In this research, we demonstrate energy portfolio design method which takes market risk into account, and discuss risk management technique using energy derivatives and related topics including (1) Research on market structure analysis and price prediction of Japan Electric Power Exchange (JEPX) (2) Research on market risks affecting energy prices (3) Research on energy portfolio and derivatives (4) Research on optimization methods. In particular, we have proposed an original new method to estimate demand and supply functions from the observable data in JEPX. We have also provided the seasonal trend estimation method in the JEPX price prediction, where the effectiveness of our proposed methods is illustrated using empirical data.

Free Research Field

金融工学