Efecto de Restricciones VaR sobre coberturas en mercados eléctricos
- Alfredo Trespalacios Carrasquilla
- Juan Fernando Rendón García
- Javier Orlando Pantoja Robayo
ISSN: 0123-5362
Année de publication: 2016
Volumen: 19
Número: 2
Pages: 201-220
Type: Article
D'autres publications dans: Revista de economía del Rosario
Résumé
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.