|
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. |