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- Energiepreis (1) (remove)
Derivatives are contracts between two parties, a buyer and a seller. The contract will be fulfilled in some point in the future at a predetermined price. The value of those contracts is based on an underlying entity which can be a traded asset or even the weather. Derivatives contains chances, but also risks, investor should be aware off. This thesis aims to deeply analyze two derivative products in the German market and one risk for each which influences the prices of those products. The first part of this thesis focuses on warrants and the issuer´s credit risk involved. It finds evidence that the issuer´s credit risk influences the connection between warrant characteristic and its prices. Over time this connection is unstable partly driven by the issuer´s credit risk. The second paper of this thesis shows that issuers seem to use their credit risk systematically to influence warrant prices. We find evidence that the changes in credit risk are not fully included in the prices directly, but that the adjustment to the new level of credit risk takes several days. In addition, the issuer´s adjustment to changes in credit risk are different for credit risk increases than for credit risk decreases. Especially after financial crisis, in more stable times, evidence is found for such adverse pricing pattern. The third part of the thesis focuses on energy derivatives traded at the Europe Energy Exchange and analyses the influence of weather parameters on energy derivatives with different load profiles and time horizons. This part of the thesis finds that especially wind speed and sun hours have a strong influence on energy derivatives. However, not all products are influenced in the same manner. Products with a longer time horizon are influenced less than the product with a short horizon. Moreover, products comprising hours of the day where energy consumption is expected to be higher are influenced stronger than products comprising hours of a day with lower time consumption. The thesis shows that derivatives are not alike and that it is needed for future research to differentiate between products and the risks which are involved. Since even though we classify them all as derivatives the risks influencing the derivative´s prices do vary tremendously.