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Title: Risk management strategy based on price swap for generation companies in electricity market environment
Other Titles: 电力市场环境下基于电价互换的发电公司风险管理策略
Authors: Li, XJ
Ngan, HW
Yu, CW
Chung, CY 
Wong, KP
Tan, ZF
Keywords: Electricity market
Price volatility
Swap tool
Risk management
Issue Date: Sep-2008
Publisher: 电力科学与技术学报编辑部
Source: 电力科学与技术学报 (Journal of electric power science and technology), Sept. 2008, v. 23, no. 3, p. 12-17 How to cite?
Journal: 电力科学与技术学报 (Journal of electric power science and technology) 
Abstract: Electricity spot market is one of the commodity markets having high price volatility, which may expose participants to various types of risk. Subject to different risk preference and comparative advantage, participants can make use of power price swap as an effective tool to hedge the power price volatility risk. This paper presents a power price swap risk-hedging model based on swap tool in finance market and utility theory. It explains how the price swap can be used to hedge risk in open electricity market. Example of analysis is included to show the effect of the swap-based tool in cases of high price volatility market and different risk-taking profile of the utilities.
ISSN: 1673-9140
Rights: © 2008 中国学术期刊电子杂志出版社。本内容的使用仅限于教育、科研之目的。
© 2008 China Academic Journal Electronic Publishing House. It is to be used strictly for educational and research use.
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