Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Brasileira de Gestão de Negócios (Online) |
Texto Completo: | https://rbgn.fecap.br/RBGN/article/view/4209 |
Resumo: | Purpose – We propose and analyze a new operating model for an energy futures exchange that could be implemented in Brazil, where there is low liquidity for these contracts. The clearing house temporarily assumes the position of customers who fail to answer the margin call, instead of closing the position, as would normally be done under normal conditions. Theoretical framework – The main theoretical bases were diffusion processes, with jumps and without jumps, and the pricing model developed by Merton (1976). Design/methodology/approach – We developed a Monte Carlo simulation model, using diffusion processes, with and without jumps. Findings – The results show that the proposed model and the insurance option generate relatively low-cost increments for the operation that could be easily absorbed by the clearing house. Practical & social implications of research – This study will be especially useful for market agents who want to evaluate the implementation of a Brazilian energy exchange, which to date is not available. Originality/value – The article proposes a new operating model for the Brazilian energy futures market and its results may encourage investment in the sector, which lacks an energy futures exchange. Keywords: Electricity, futures markets, Monte Carlo simulation, clearing house. |
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Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in BrazilModelo Operacional e Estimativa do Prémio de Seguro para uma Câmara de Compensação de Futuros de Energia no BrasilElectricityFutures marketsMonte Carlo simulationClearing houseEletricidadeMercados futurosSimulação de Monte CarloCâmara de compensaçãoPurpose – We propose and analyze a new operating model for an energy futures exchange that could be implemented in Brazil, where there is low liquidity for these contracts. The clearing house temporarily assumes the position of customers who fail to answer the margin call, instead of closing the position, as would normally be done under normal conditions. Theoretical framework – The main theoretical bases were diffusion processes, with jumps and without jumps, and the pricing model developed by Merton (1976). Design/methodology/approach – We developed a Monte Carlo simulation model, using diffusion processes, with and without jumps. Findings – The results show that the proposed model and the insurance option generate relatively low-cost increments for the operation that could be easily absorbed by the clearing house. Practical & social implications of research – This study will be especially useful for market agents who want to evaluate the implementation of a Brazilian energy exchange, which to date is not available. Originality/value – The article proposes a new operating model for the Brazilian energy futures market and its results may encourage investment in the sector, which lacks an energy futures exchange. Keywords: Electricity, futures markets, Monte Carlo simulation, clearing house.Objetivo - Propomos e analisamos um novo modelo operacional para uma bolsa de futuros de energia que poderia ser implementado no Brasil, onde existe baixa liquidez para estes contratos. A câmara de compensação assume temporariamente a posição dos clientes que não respondem à chamada de margem, em vez de fechar a posição, como normalmente seria feito em condições normais. Referencial teórico - As principais bases teóricas foram processos de difusão, com saltos e sem saltos, e o modelo de preços desenvolvido por Merton (1976). Metodologia - Desenvolvemos um modelo de simulação Monte Carlo, utilizando processos de difusão, com e sem saltos. Resultados - Os resultados mostram que o modelo proposto e a opção de seguro geram incrementos de custo relativamente baixos para a operação, que poderiam ser facilmente absorvidos pela câmara de compensação. Implicações práticas e sociais da investigação - Este estudo será especialmente útil para agentes de mercado que queiram avaliar a implementação de uma bolsa de energia brasileira, que até à data não está disponível. Contribuições - O artigo propõe um novo modelo de operação para o mercado de futuros de energia brasileiro e os seus resultados podem encorajar o investimento no setor, que carece de uma bolsa de futuros de energia. Palavras-chave - eletricidade, mercados de futuros, simulação de Monte Carlo, câmara de compensação.FECAP2023-04-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/420910.7819/rbgn.v25i1.4209Review of Business Management; Vol. 25 No. 1 (2023)RBGN Revista Brasileira de Gestão de Negócios; Vol. 25 Núm. 1 (2023)RBGN - Revista Brasileira de Gestão de Negócios; v. 25 n. 1 (2023)1983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPenghttps://rbgn.fecap.br/RBGN/article/view/4209/1910Copyright (c) 2023 Review of Business Managementinfo:eu-repo/semantics/openAccess Pelajo Caldara, JonasLima Gomes, Leonardo Figueiredo Pinto, Antonio Carlos Cabús Klotzle, Marcelo 2023-12-12T19:39:18Zoai:ojs.emnuvens.com.br:article/4209Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2023-12-12T19:39:18Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)false |
dc.title.none.fl_str_mv |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil Modelo Operacional e Estimativa do Prémio de Seguro para uma Câmara de Compensação de Futuros de Energia no Brasil |
title |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil |
spellingShingle |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil Pelajo Caldara, Jonas Electricity Futures markets Monte Carlo simulation Clearing house Eletricidade Mercados futuros Simulação de Monte Carlo Câmara de compensação |
title_short |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil |
title_full |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil |
title_fullStr |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil |
title_full_unstemmed |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil |
title_sort |
Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil |
author |
Pelajo Caldara, Jonas |
author_facet |
Pelajo Caldara, Jonas Lima Gomes, Leonardo Figueiredo Pinto, Antonio Carlos Cabús Klotzle, Marcelo |
author_role |
author |
author2 |
Lima Gomes, Leonardo Figueiredo Pinto, Antonio Carlos Cabús Klotzle, Marcelo |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Pelajo Caldara, Jonas Lima Gomes, Leonardo Figueiredo Pinto, Antonio Carlos Cabús Klotzle, Marcelo |
dc.subject.por.fl_str_mv |
Electricity Futures markets Monte Carlo simulation Clearing house Eletricidade Mercados futuros Simulação de Monte Carlo Câmara de compensação |
topic |
Electricity Futures markets Monte Carlo simulation Clearing house Eletricidade Mercados futuros Simulação de Monte Carlo Câmara de compensação |
description |
Purpose – We propose and analyze a new operating model for an energy futures exchange that could be implemented in Brazil, where there is low liquidity for these contracts. The clearing house temporarily assumes the position of customers who fail to answer the margin call, instead of closing the position, as would normally be done under normal conditions. Theoretical framework – The main theoretical bases were diffusion processes, with jumps and without jumps, and the pricing model developed by Merton (1976). Design/methodology/approach – We developed a Monte Carlo simulation model, using diffusion processes, with and without jumps. Findings – The results show that the proposed model and the insurance option generate relatively low-cost increments for the operation that could be easily absorbed by the clearing house. Practical & social implications of research – This study will be especially useful for market agents who want to evaluate the implementation of a Brazilian energy exchange, which to date is not available. Originality/value – The article proposes a new operating model for the Brazilian energy futures market and its results may encourage investment in the sector, which lacks an energy futures exchange. Keywords: Electricity, futures markets, Monte Carlo simulation, clearing house. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-04-10 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Avaliado por pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/4209 10.7819/rbgn.v25i1.4209 |
url |
https://rbgn.fecap.br/RBGN/article/view/4209 |
identifier_str_mv |
10.7819/rbgn.v25i1.4209 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/4209/1910 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2023 Review of Business Management info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2023 Review of Business Management |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
FECAP |
publisher.none.fl_str_mv |
FECAP |
dc.source.none.fl_str_mv |
Review of Business Management; Vol. 25 No. 1 (2023) RBGN Revista Brasileira de Gestão de Negócios; Vol. 25 Núm. 1 (2023) RBGN - Revista Brasileira de Gestão de Negócios; v. 25 n. 1 (2023) 1983-0807 1806-4892 reponame:Revista Brasileira de Gestão de Negócios (Online) instname:Fundação Escola de Comércio Álvares Penteado (FECAP) instacron:FECAP |
instname_str |
Fundação Escola de Comércio Álvares Penteado (FECAP) |
instacron_str |
FECAP |
institution |
FECAP |
reponame_str |
Revista Brasileira de Gestão de Negócios (Online) |
collection |
Revista Brasileira de Gestão de Negócios (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP) |
repository.mail.fl_str_mv |
||jmauricio@fecap.br |
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1798942370991964160 |