Modelling risk for electric power markets

Modelling risk for electric power markets

This paper presents a study of the Forward Risk Premia (FRP) in Wholesale Electric Power Market in Colombia (WPMC) showing how the FRP varies throughout the day and how its properties are explained by risk factors. It also shows that expected forward risk premia depends on factors such as variations...

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Bibliographic Details
Main Author: Javier Pantoja-Robayo
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2012-06-01
Series:Innovar: Revista de Ciencias Administrativas y Sociales
Subjects:
Forward Risk Premia
Electric Power Markets
Oceanic Niño Index (ONI)
Online Access:http://www.caoni.be/index.php/innovar/article/view/35567

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