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• W3034630628 abstract "Energy transactions in liberalized markets are subject to price and quantity uncertainty. This paper considers the spot price and energy generation to follow a bivariate semi-nonparametric distribution defined in terms of the Gram–Charlier expansion. This distribution allows us to jointly model not only mean, variance, and correlation but also skewness, kurtosis, and higher-order moments. Based on this model, we propose a static hedging strategy for electricity generators that participate in a competitive market where hedging is carried out through forward contracts that include a risk premium in their valuation. For this purpose, we use Monte Carlo simulation and consider information from the Colombian electricity market as the case study. The results show that the volume of energy to be sold under long-term contracts depends on each electricity generator and the risk assessment made by the market in the forward risk premium. The conditions of skewness, kurtosis, and correlation, as well as the type of the employed risk indicator, affect the hedging strategy that each electricity generator should implement. A positive correlation between the spot price and energy production tends to increase the hedge ratio; meanwhile, negative correlation tends to reduce it. The increase of forward risk premium, on the other hand, reduces the hedge ratio." @default.
• W3034630628 created "2020-06-19" @default.
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• W3034630628 date "2021-06-07" @default.
• W3034630628 modified "2023-10-14" @default.
• W3034630628 title "Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts" @default.
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• W3034630628 doi "https://doi.org/10.3390/en14113345" @default.
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