Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie
AbstractThe regulatory changes in the german electric power market result in rising electricity price volatility. As a consequence electricity price risk management is essential for an electricity trader. The paper therefore analyzes the needed volume of futures hedging for an electricity trader, that ist tries to derive the optimal hedge ratio. In the first step the theoretical conditions for a preference-free optimal hedge ratio are discussed. In the second step these conditions are analyzed empirically with data for the german electricity exchange EEX and the scandinavian electricity exchange Nord Pool. --
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Bibliographic InfoPaper provided by TU Bergakademie Freiberg, Faculty of Economics and Business Administration in its series Freiberg Working Papers with number 2005,18.
Date of creation: 2005
Date of revision:
Electricity Price Risk; Electricity Futures; optimal Hedge Ratio;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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