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dc.contributor.authorChemla, Gilles
dc.contributor.authorPorchet, Arnaud
dc.contributor.authorTouzi, Nizar
dc.contributor.authorAïd, René
dc.date.accessioned2011-06-01T11:50:53Z
dc.date.available2011-06-01T11:50:53Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6395
dc.language.isoenen
dc.subjectproducersen
dc.subjecthedgingen
dc.subjectforwarden
dc.subjectspoten
dc.subjectvertical integrationen
dc.subjectretailersen
dc.subjectelectricity marketsen
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.subject.classificationjelG34en
dc.subject.classificationjelL11en
dc.subject.classificationjelL51en
dc.subject.classificationjelL94en
dc.subject.classificationjelD21en
dc.subject.classificationjelG13en
dc.titleForward Hedging and Vertical Integration in Electricity Marketsen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherImperial College Business School;Royaume-Uni
dc.contributor.editoruniversityotherEcole Polytechnique;France
dc.description.abstractenThis paper analyzes the interactions between vertical integration and (wholesale) spot, forward and retail markets in risk management. We develop an equilibrium model that fits electricity markets well. We point out that vertical integration and forward hedging are two separate levers for demand and spot price risk diversification. We show that they are imperfect substitutes as to their impact on retail prices and agents’ utility because the asymmetry between upstream and downstream segments. While agents always use the forward market, vertical integration may not arise. In addition, in presence of highly risk averse downstream agents, vertical integration may be a better way to diversify risk than spot, forward and retail mar kets. We illustrate our analysis with data from the French electricity market.en
dc.identifier.citationpages29en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle36th Annual EFA Meeting
dc.relation.confdate2009-08
dc.relation.confcityBergen
dc.relation.confcountryNorvège


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