Resource title

Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie

Resource image

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Resource description

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.

Resource author

Marc Rodt, Klaus Schäfer

Resource publisher

Resource publish date

Resource language

deu

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/27094

Resource license

Adapt according to the presented license agreement and reference the original author.