牛津能源研究所：2024电力市场的对冲尾部风险研究报告（英文版）（39页）.pdf

1、 April 2024 OIES Paper:EL 53 Hedging and Tail Risk in Electricity Markets Farhad Billimoria,Visiting Research Fellow,OIES,and Director,S&P Global Power Markets Jacob Mays,Assistant Professor,Cornell University Rahmatallah Poudineh,Head of Electricity Research,OIES ii The contents of this paper are t

2、he authors sole responsibility.They do not necessarily represent the views of the Oxford Institute for Energy Studies or any of its Members.The contents of this paper are the authors sole responsibility.They do not necessarily represent the views of the Oxford Institute for Energy Studies or any of

3、its members.Copyright 2024 Oxford Institute for Energy Studies(Registered Charity,No.286084)This publication may be reproduced in part for educational or non-profit purposes without special permission from the copyright holder,provided acknowledgement of the source is made.No use of this publication

4、 may be made for resale or for any other commercial purpose whatsoever without prior permission in writing from the Oxford Institute for Energy Studies.ISBN 978-1-78467-240-9 iii The contents of this paper are the authors sole responsibility.They do not necessarily represent the views of the Oxford

5、Institute for Energy Studies or any of its Members.Acknowledgements We wish to acknowledge without implicating Malcolm Keay,Dr.David Robinson,and Prof.Paul Simshauser for insightful comments and feedback on earlier versions of this paper,and Dr.Darryl Biggar for helpful discussions on the context an

6、d content of the work.Abstract A concern persistent in scarcity-based market designs for electricity over many years has been the illiquidity of markets for long-term contracts to hedge away volatile price exposures between generators and consumers.These missing markets have been attributed to a ran