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Potential benefits of optimal intra-day electricity hedging for the environment: The perspective of electricity retailers

机译：日间最佳电力对冲措施对环境的潜在好处：电力零售商的观点

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摘要

Our article provides a better understanding of risk management strategies for all energy market stakeholders. A good knowledge of optimal risk hedging strategies is not only important for energy companies but also for regulators and policy makers in a context of climate emergency. Indeed, the electricity sector is key to achieve energy and ecological transition. Electricity companies should be on frontline of climate change struggle. Taking the perspective of electricity retailers, we analyze a range of portfolios made of forward contracts and/or power plants for specific hourly clusters based on electricity market data from the integrated German-Austrian spot market. We prove that intra-day hedging with forward contracts is sub-optimal compared to financial options and physical assets. By demonstrating the contribution of infra-day hedging with options and physical assets, we highlight the specificities of electricity markets as hourly markets with strong volatility during peak hours. By simulating optimal hedging strategies, our article proposes a range of new portfolios for electricity retailers to manage their risks and reduce their sourcing costs. A lower hedging cost enables to allocate more resources to digitalization and energy efficiency services to take into account customers' expectations for more climate-friendly retailers. This is a virtuous circle. Retailers provide high value-added energy efficiency services so that consumers consume less. The latter contributes to reach electricity reduction targets to fight climate warming.
机译：本文为所有能源市场利益相关者更好地理解了风险管理策略。掌握最佳风险对冲策略不仅对能源公司很重要，而且对于气候紧急情况下的监管者和决策者也很重要。实际上，电力部门是实现能源和生态转型的关键。电力公司应该站在应对气候变化的前沿。从电力零售商的角度出发，我们根据来自德国-奥地利综合现货市场的电力市场数据，分析了针对特定小时集群的由远期合同和/或发电厂组成的投资组合。我们证明，与金融期权和实物资产相比，远期合约的日内套期保值次优。通过演示使用期权和实物资产进行日内对冲的贡献，我们强调了电力市场作为高峰时段小时波动性大的小时市场的特殊性。通过模拟最佳对冲策略，本文为电力零售商提出了一系列新的投资组合，以管理其风险并降低其采购成本。较低的套期保值成本可以将更多资源分配给数字化和能效服务，从而考虑到客户对更环保的零售商的期望。这是一个良性循环。零售商提供高附加值的能源效率服务，从而减少消费者的消费。后者有助于实现减少电力的目标以应对气候变暖。

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