Efecto de Restricciones VaR sobre coberturas en mercados eléctricos

Alfredo Trespalacios (), Juan Fernando Rendón García () and Javier Orlando Pantoja Robayo ()

Revista de Economía del Rosario, 2016, vol. 19, issue 2, No 17951, 220 pages

Abstract: We analyze the VaR-constraints effect over decisions about amount and time in the transactions in electricity markets using forward contracts. Taking in account the best hedging time when the markets agents are looking to maximize the expected value of its risk-adjusted utility function and uncertainty faced by volume. We Assume that spot price in electric power market, exhibits especial characteristics such as seasonality and mean reversion. On the other hand electric power market shows evidence of the presence of the risk premium. The results show that VaR restrictions affect the hedging ratio and the time when the hedge is made

Keywords: Electricity Market; Hedging; Derivative Instruments; VaR (search for similar items in EconPapers)
JEL-codes: C41 G11 Q40 (search for similar items in EconPapers)
Date: 2016
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Working Paper: Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000151:017951

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