Observatorio de I+D+i UPM

Memorias de investigación
Artículos en revistas:
Analysis of the Iberian electricity forward market hedging efficiency
Año:2013
Áreas de investigación
  • Reglamentación financiera,
  • Mercado de capitales,
  • Formación de precios
Datos
Descripción
An assessment of the hedging performance in the Iberian Forward Electricity Market is performed. Aggregated data from the Portuguese and Spanish clearing houses for energy derivatives are considered. The hedging performance is measured through the ratio of the final open interest of a month derivatives contract divided by its accumulated cleared volume. The base load futures in the Iberian energy derivatives exchange show the lowest ratios due to good liquidity. The peak futures show bigger ratios as their reduced liquidity is produced by auctions fixed by Portuguese regulation. The base load swaps settled in the clearing house located in Spain show initially large values due to low registered volumes, as this clearing house is mainly used for short maturity (daily and weekly swaps). This hedging ratio can be a powerful oversight tool for energy regulators when accessing to all the derivatives transactions as envisaged by European regulation.
Internacional
Si
JCR del ISI
No
Título de la revista
International Journal of Financial Engineering and Risk Management
ISSN
2049-0917
Factor de impacto JCR
Información de impacto
IJFERM is indexed in Google Scholar. IJFERM is listed in Cabell's Directory of Publishing Opportunities.
Volumen
Volume 1
DOI
10.1504/IJFERM.2013.053711
Número de revista
Number 1
Desde la página
20
Hasta la página
34
Mes
SIN MES
Ranking
The article belongs to a Special Issue on Commodities Financial Management. IJFERM is a scholarly peer-reviewed international journal covering all aspects of the theory and practice of financial engineering and risk management.
Esta actividad pertenece a memorias de investigación
Participantes
  • Autor: Alvaro Capitan Herraiz (UPM)
  • Autor: Carlos Rodriguez Monroy (UPM)
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Grupo de Investigación: Ingeniería de la Calidad Alimentaria
  • Departamento: Ingeniería de Organización, Administración de Empresas y Estadística
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