Russo, Antonio (A.A. 2021/2022) Hedging strategy per l'esposizione al rischio di mercato delle commodities: il caso Enel Group. Tesi di Laurea in Econometria per la finanza, Luiss Guido Carli, relatore Federico Carlo Eugenio Carlini, pp. 65. [Master's Degree Thesis]

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Abstract/Index

Metodologia. Vector autoregressive models. Selezione del numero di lags ottimale. Granger causality test. Impulse response function analysis. Forecast error variance decomposition e connectedness table. Exposure risk factor construction. Exposure risk betas. Hedging portfolio. Mercato energetico. Fattori economici. Centralit`a del natural gas: fattori geopolitici e conflitto Russia-Ucraina. Pressione sulla liquidit'a & rischi per le energy firms. Analisi empirica: Enel Group case study. Enel Group business model. Data. Commodities network. Stylized facts. Commodities risk exposure. Commodities risk exposure betas. Strategia di hedging. Implicazioni per il risk management.

References

Bibliografia: pp. 61-62.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Econometria per la finanza
Thesis Supervisor:	Carlini, Federico Carlo Eugenio
Thesis Co-Supervisor:	Santucci de Magistris, Paolo
Academic Year:	2021/2022
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	03 Aug 2023 13:05
Last Modified:	03 Aug 2023 13:05
URI:	https://tesi.luiss.it/id/eprint/36271

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