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Efecto de Restricciones VaR sobre coberturas en mercados eléctricos

Author

Listed:
  • Alfredo Trespalacios Carrasquilla
  • Juan Fernando Rendón García
  • Javier Orlando Pantoja Robayo

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

Suggested Citation

  • Alfredo Trespalacios Carrasquilla & Juan Fernando Rendón García & Javier Orlando Pantoja Robayo, 2016. "Efecto de Restricciones VaR sobre coberturas en mercados eléctricos," Revista de Economía del Rosario, Universidad del Rosario, vol. 19(2), pages 201-220, December.
    • Handle: RePEc:col:000151:017951
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    References listed on IDEAS

    as
    1. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. María Dolores Furió & Vicente Meneu, 2009. "Expectations and Forward Risk Premium in the Spanish Power Market," Working Papers. Serie AD 2009-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    3. Unknown, 2005. "Forward," 2005 Conference: Slovenia in the EU - Challenges for Agriculture, Food Science and Rural Affairs, November 10-11, 2005, Moravske Toplice, Slovenia 183804, Slovenian Association of Agricultural Economists (DAES).
    4. repec:bla:jfinan:v:59:y:2004:i:4:p:1877-1900 is not listed on IDEAS
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    More about this item

    Keywords

    Electricity Market; Hedging; Derivative Instruments; VaR;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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