61 research outputs found

    Energy Market Prices in Times of COVID-19: The Case of Electricity and Natural Gas in Spain

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    The COVID-19 pandemic is having a strong impact on the economies of all countries, negatively affecting almost all sectors. This paper compares Spanish electricity and natural gas prices in the first half-year of 2020 with the prices expected for that period at the end of 2019. The half-year of 2020 selected coincides with the period of greatest impact of COVID-19 on Spanish society. Expected prices and their future probability distributions are calculated using a stochastic model with deterministic and stochastic parts; the stochastic part includes mean-reverting and jumps behaviour. The model is calibrated with 2016ÔÇô2019 daily spot prices for electricity and with day-ahead prices for natural gas. The results show large monthly differences between the prices expected at the end of the year 2019 and the actual prices for the half-year; in May 2020, wholesale electricity prices are found to be EUR 31.60/MWh lower than expected, i.e., 60% lower. In the case of natural gas, the prices in the same month are EUR 8.96/MWh lower than expected, i.e., 62% lower. The spark spread (SS) is positive but lower than expected and also lower than in the same months of the previous year

    Comparing urban coastal flood risk in 136 cities under two alternative sea-level projections: RCP 8.5 and an expert opinion-based high-end scenario

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    The high degree of uncertainty associated with the extent of future sea-level rise stems primarily from the potential mass loss of the Greenland and Antarctica ice-sheets. We explore the impact of this uncertainty on economic damage due to sea-level rise for 136 major coastal cities. We compare the probability distribution for damage under the assumption of no adaptation for two relative sea-level projections: the RCP 8.5 scenario from the IPCC Fifth Assessment Report and a High-end scenario that incorporates expert opinion on additional ice-sheet melting. We use the 50th and 95th percentiles to estimate expected damage and one risk measure, the Expected Shortfall ES (95%), which represents the impact of low-probability, high-damage coastal flood risk (above the 95th percentile). Aggregate expected damage by 2050 under RCP 8.5 is US1,600billion,whiletheaggregateriskmeasureES(951,600 billion, while the aggregate risk measure ES(95%) is almost twice as much as the average damage at US3,082 billion. Under the High-end scenario, ES(95%) figures in Guangzhou and New Orleans by 2050 are twice as high as the expected damage. The city of Guangzhou leads the ranking under both scenarios, followed by Mumbai and New Orleans. Our results suggest that it is critical to incorporate the possibility of High-end scenarios into coastal adaptation planning for future sea-level rise, especially for risk-averse decision-making

    Climate change and heatwaves in the main coastal cities of the Basque Country

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    In this paper we analyse the probabilistic behaviour of heatwaves (HWs) in the main coastal cities of the Basque Country (Bayonne, Bilbao and Donostia-San Sebastian) in the twentyfirst century. We estimate HW behaviour using data from eight climate circulation models under two representative concentration pathways (RCP 8.5 and RCP 4.5). We model HWs according to three factors: number per annum, duration and intensity, including correlations, and find very different results for each climate model. This highlights the problem of using a single model. Under RCP 8.5, we find an expected mean excess over the 30C temperature threshold of 4.19C for Bayonne, 4.05C for Bilbao and 4.14C for Donostia-San Sebastian in 2100. These expected values are based on incomplete information, so we also calculate several risk measures. ┬ę 2020 Servicio Central Publicaciones. Gobierno vasco.This research is supported by the Basque Government through the BERC 2018-2021 programme and by the Spanish Ministry of the Economy and Competitiveness (MINECO) through BC3 Mar?a de Maeztu excellence accreditation MDM-2017-0714. Additionally, Luis M. Abadie gratefully acknowledges financial support from The Spanish Ministry of Science and Innovation (RTI2018-093352-B-I00). Marek Smid acknowledges the H2020 EU project COACCH-grant agreement N. 776479

    Empowering Latina scientists

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    Valuation of Real Options in Crude Oil Production

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    Oil producers are going through a hard period. They have a number of real options at their disposal. This paper addresses the valuation of two of them: the option to delay investment and the option to abandon a producing field. A prerequisite for this is to determine the value of a producing well. For this purpose we draw on a stochastic model of oil price with three risk factors: spot price, long-term price, and spot price volatility. This model is estimated with spot and futures West Texas Intermediate (WTI) oil prices. The numerical estimates of the underlying parameters allow calculate the value of a producing well over a fixed time horizon. We delineate the optimal boundary that separates the investment region from the wait region in the spot price/unit cost space. We similarly draw the boundary governing the optimal exercise of the option to abandon and the one governing the active/inactive production decision when there is no such option
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