Method for managing risk in markets related to commodities delivered over a network
3 Assignments
0 Petitions
Accused Products
Abstract
A system, method, software, and portfolios for managing risk in markets relating to a commodity delivered over a network are described, in which a market participant constructs portfolios of preferably liquid price risk instruments in proportions that eliminate the Spatial Price Risk for the market participant'"'"'s underlying position. Techniques are also disclosed for constructing and evaluating new price risk instruments and other sets of positions, as well as identifying arbitrage opportunities in those markets.
34 Citations
19 Claims
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1-4. -4. (canceled)
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5. A method for evaluating a portfolio of price risk instruments in a market related to a commodity delivered over a network, comprising the steps of:
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estimating a plurality of distribution factors indicating effects on one or more congestible lines in the network due to transfers of the commodity at respective locations in the network; and
evaluating the portfolio based on the estimated distribution factors. - View Dependent Claims (6)
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7-17. -17. (canceled)
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18. A computer-readable medium bearing instructions for evaluating a portfolio of price risk instruments in a market related to a commodity delivered over a network, said instructions being arranged to cause one or more processors upon execution thereby to perform the steps of:
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estimating a plurality of distribution factors indicating effects on one or more congestible lines in the network due to transfers of the commodity at respective locations in the network; and
evaluating the portfolio based on the estimated distribution factors.
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19-20. -20. (canceled)
Specification