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Freiberger Arbeitspapiere, Fakultät für Wirtschaftswissenschaften, Technische Universität Bergakademie Freiberg >
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http://hdl.handle.net/10419/27094
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| Title: | | Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie  |
| Authors: | | Rodt, Marc Schäfer, Klaus |
| Issue Date: | | 2005 |
| Series/Report no.: | | Freiberg working papers 2005,18 |
| Abstract: | | The 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. |
| Subjects: | | Electricity Price Risk Electricity Futures optimal Hedge Ratio |
| JEL: | | C10 G13 Q40 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Freiberger Arbeitspapiere, Fakultät für Wirtschaftswissenschaften, Technische Universität Bergakademie Freiberg
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