Hedging and Vertical Integration in Electricity Markets

Hedging and Vertical Integration in Electricity Markets

This paper analyzes the interactions between competitive (wholesale) spot, retail, and forward markets and vertical integration in electricity markets. We develop an equilibrium model with producers, retailers, and traders to study and quantify the impact of forward markets and vertical integration on prices, risk premia and retail market shares. We point out that forward hedging and vertical i...

Reevaluation of Vertical Integration and Unbundling in Restructured Electricity Markets

Vertical Integration and Market Power in Electricity Markets

Vertical separation of generation from electricity retailing has often been required as a condition of electricity market liberalisation. A well-developed and liquid contracts market is similarly suggested as necessary to manage the resulting wholesale market risks, which risks are further exacerbated by competition. Such contracts markets are rare, however, and increasingly evidence is emergin...

Operation , Investment and Hedging in Electricity Markets

This paper develops hedging strategies for an electricity distributor in the Nordic electricity market who manages price and volume risk from fixed price agreements on stochastic electricity load. Whereas the distributor trades in the spot market at area prices, the financial contracts used for hedging are settled against the system price. Both the area price and the system price are correlated...

Hedging Optimization Algorithms for Deregulated Electricity Markets

Recent trends in many U.S. states are to deregulate their electric power industry and markets with the desire to provide a more consumer-friendly environment than under regulation. However, deregulation also creates uncertainty and risk. It is this risk that we wish to address and contain. In this thesis, we review recently developed stochastic models of physical and nancial aspects of deregula...