Alessandro Mauro

Independent

No Address Available

SCHOLARLY PAPERS

13

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Ideas:
“  Commodity exposures representation by risk drivers  ”

Scholarly Papers (13)

1.

Price Risk Management in the Energy Industry: The Value at Risk Approach

Proceedings of the XXII Annual International Conference of the International Association for Energy Economics, 9-12 June 1999
Number of pages: 10 Posted: 15 Oct 2007 Last Revised: 05 Nov 2014
Alessandro Mauro
Independent
Downloads 3,474 (2,743)

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Value at Risk, VaR, risk management, risk measurement, energy industry, oil industry , refining industry, power generation, unbundling, commoditization, Liberalisation, interfuel competition

2.

Evaluating Portfolios in Energy Trading

Risk Professional, April 2011
Number of pages: 3 Posted: 27 Jun 2011
Alessandro Mauro
Independent
Downloads 263 (113,814)

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evaluation, risk management, risk measurement, energy, oil trading, price, price discovery, mark-to-market, forward curve, price normalization, price synchronization, Value-at-Risk, VaR

3.

Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis

Number of pages: 31 Posted: 08 Nov 2011 Last Revised: 03 Nov 2014
Alessandro Mauro and Andrea Peri
Independent and British Petroleum
Downloads 255 (117,578)

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crude oil markets, refined product markets, petroleum markets, GARCH, Multivariate GARCH, MGARCH, BEKK, Cointegration, VECM, Granger causality, Weakly Exogenity, volatility transmission

4.

An Evaluation of Italian Electricity Generation Assets Using a Spark Spread Option Model

Number of pages: 11 Posted: 26 Aug 2009
Alessandro Mauro and Rosario Sgarioto
Independent and affiliation not provided to SSRN
Downloads 207 (144,372)

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spark spread, real options, Margrabe's option model, power generation, electricity markets, electricity pool, electricity assets, merchant power plant, discounted cash flow methodology

5.

Market-Based Systems for Natural Gas Transportation in the United Kingdom

Energia, 2000
Number of pages: 11 Posted: 14 Apr 2008 Last Revised: 19 Apr 2015
Alessandro Mauro
Independent
Downloads 153 (188,876)

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gas naturale, natural gas, gas trading, gas transportation, National Balancing Point, NBP, Interconnector, gas shipping, Network Code, entry capacity, OCM, On-the-Day Commodity Market, IPE, International Petroleum Exchange, commodity charge, nomination, System Average Price

6.

Financing Sources for a Firm: An Approach Based on Option Theory (Le Fonti Di Finanziamento Dell'Impresa Alla Luce Della Teoria Delle Opzioni)

ENI Scuola Superiore "E. Mattei" Studi, Ricerche & Documenti Series (1994-2001)
Number of pages: 47 Posted: 02 Sep 2008 Last Revised: 15 Oct 2008
Alessandro Mauro
Independent
Downloads 134 (210,294)

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Options, Call Options, Put Options, Financing Sources, Black-Scholes, Enterprice Value, Guaranteed Debt, Compound Option

7.

La Gestione Del Rischio Di Prezzo Nella Industria Energetica (Price Risk Management in the Energy Industry)

Energia, Vol. 4, 1999
Number of pages: 8 Posted: 26 Jan 2012
Alessandro Mauro
Independent
Downloads 129 (216,763)

Abstract:

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VaR, Value-at-Risk, energy industry, mark-to-market, interfuel competition, oil refining, unbundling, gas trading, power markets

8.

Le Borse Delle Merci [Commodity Exchanges]

Independent Review, No. 4, 2003
Number of pages: 10 Posted: 03 Nov 2011
Alessandro Mauro
Independent
Downloads 104 (253,611)

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commodity, exchanges, soft commodities, energy products, NYMEX, IPE, crude oil, refined oil products, natural gas, electricity,emission trading, weather derivatives

9.

The Rise and Fall of OW Bunker, the World's Largest Marine Fuel Trader

GARP Risk Intelligence, 2015
Number of pages: 17 Posted: 05 Oct 2017
Alessandro Mauro
Independent
Downloads 99 (262,250)

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Oil Energy trading, Risk Management, Derivatives, Speculation

10.

Il Value at Risk Per Imprese Non Finanziarie: Il Caso Dell'Industria Della Raffinazione (Value-at-Risk for Non-Financial Companies: The Oil Refining Industry)

Finanza Marketing e Produzione, Forthcoming
Number of pages: 12 Posted: 14 Jan 2012 Last Revised: 26 Jan 2012
Alessandro Mauro
Independent
Downloads 63 (341,918)

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value-at-risk, VaR, incremental VaR, oil refining industry, crude oil, oil refined products, simple refineries, complex refineries, gross refining margin, oil price formula

11.

Creation and Transfer of Price Risk in European Energy Markets

The Professional Risk Managers' Guide to the Energy Market, PRMIA, 2007
Number of pages: 21 Posted: 10 Dec 2013
Alessandro Mauro
Independent
Downloads 52 (374,731)

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Price risk, Energy prices, Crude oil, Natural gas, Coal, Electricity, intra-fuel competition, Refining margins, Decoupling, Oil-indexed prices, UK gas, Benchmarks, Energy Exchanges, Commoditization, Financialization, J.K. Arrow, Emission trading, regulatory risk

12.

Verso Il Pool Elettrico: Un Nuovo Metodo Di Valutazione Delle Centrali (Power Plants Evaluation in an Electricity Pool)

Energia, No. 1, 2002
Number of pages: 7 Posted: 26 Mar 2012
Alessandro Mauro and Rosario Sgarioto
Independent and affiliation not provided to SSRN
Downloads 27 (473,347)

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electricity, pool, real options, ENEL, Autorita' per l'Energia Elettrica e il Gas, CCGT, Gestore del Mercato Elettrico, Monte Carlo simulation

13.

Hit-and-Run Competition in the New Oil Market Order

GARP Risk Professional
Number of pages: 20 Posted: 13 Oct 2017
Alessandro Mauro
Independent
Downloads 12 (558,328)

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Oil markets, Shale oil, Contestable Market Theory, Energy