Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets

In a competitive electricity market, both electricity retailers and generators predict future prices and volumes and execute electricity delivery contracts through power exchange. In such circumstances, they may suffer from uncertainties caused by fluctuations in spot prices and future demand due to...

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Autores principales:	Yuji Yamada, Takuji Matsumoto
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	cashflow management of electricity businesses electricity derivatives and forwards retailers and power producers solar power and thermal energy optimal hedging using nonparametric techniques empirical simulations Technology T
Acceso en línea:	https://doaj.org/article/41a76d91fc774f2e8b84a41e413cfeda
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spelling	oai:doaj.org-article:41a76d91fc774f2e8b84a41e413cfeda2021-11-11T16:02:52ZGoing for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets10.3390/en142173111996-1073https://doaj.org/article/41a76d91fc774f2e8b84a41e413cfeda2021-11-01T00:00:00Zhttps://www.mdpi.com/1996-1073/14/21/7311https://doaj.org/toc/1996-1073In a competitive electricity market, both electricity retailers and generators predict future prices and volumes and execute electricity delivery contracts through power exchange. In such circumstances, they may suffer from uncertainties caused by fluctuations in spot prices and future demand due to their high volatility. In this study, we develop a unified approach using derivatives and forwards on the spot electricity price and weather data to mitigate the cashflow fluctuation for power utilities. We aim to clarify the applicability of our proposed methods and provide a new and useful perspective on hedging schemes involving various electricity utilities, such as power retailers, solar photovoltaic (PV) generators, and thermal generators. Moreover, we analyze the risk of risk takers (such as the insurance companies in this study) in the derivatives market. In addition, we perform empirical simulations to measure out-of-sample hedging effects on their cashflow management using actual data in Japan.Yuji YamadaTakuji MatsumotoMDPI AGarticlecashflow management of electricity businesseselectricity derivatives and forwardsretailers and power producerssolar power and thermal energyoptimal hedging using nonparametric techniquesempirical simulationsTechnologyTENEnergies, Vol 14, Iss 7311, p 7311 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	cashflow management of electricity businesses electricity derivatives and forwards retailers and power producers solar power and thermal energy optimal hedging using nonparametric techniques empirical simulations Technology T
spellingShingle	cashflow management of electricity businesses electricity derivatives and forwards retailers and power producers solar power and thermal energy optimal hedging using nonparametric techniques empirical simulations Technology T Yuji Yamada Takuji Matsumoto Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets
description	In a competitive electricity market, both electricity retailers and generators predict future prices and volumes and execute electricity delivery contracts through power exchange. In such circumstances, they may suffer from uncertainties caused by fluctuations in spot prices and future demand due to their high volatility. In this study, we develop a unified approach using derivatives and forwards on the spot electricity price and weather data to mitigate the cashflow fluctuation for power utilities. We aim to clarify the applicability of our proposed methods and provide a new and useful perspective on hedging schemes involving various electricity utilities, such as power retailers, solar photovoltaic (PV) generators, and thermal generators. Moreover, we analyze the risk of risk takers (such as the insurance companies in this study) in the derivatives market. In addition, we perform empirical simulations to measure out-of-sample hedging effects on their cashflow management using actual data in Japan.
format	article
author	Yuji Yamada Takuji Matsumoto
author_facet	Yuji Yamada Takuji Matsumoto
author_sort	Yuji Yamada
title	Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets
title_short	Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets
title_full	Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets
title_fullStr	Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets
title_full_unstemmed	Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets
title_sort	going for derivatives or forwards? minimizing cashflow fluctuations of electricity transactions on power markets
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/41a76d91fc774f2e8b84a41e413cfeda
work_keys_str_mv	AT yujiyamada goingforderivativesorforwardsminimizingcashflowfluctuationsofelectricitytransactionsonpowermarkets AT takujimatsumoto goingforderivativesorforwardsminimizingcashflowfluctuationsofelectricitytransactionsonpowermarkets
_version_	1718432408740560896

Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets

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