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2017-08-23Diskussionspapier DOI: 10.18452/18740
Pricing Green Financial Products
dc.contributor.authorMelzer, Awdesch
dc.contributor.authorHärdle, Wolfgang K.
dc.contributor.authorLópez-Cabrera, Brenda
dc.date.accessioned2018-01-24T14:01:25Z
dc.date.available2018-01-24T14:01:25Z
dc.date.issued2017-08-23
dc.identifier.urihttp://edoc.hu-berlin.de/18452/19453
dc.description.abstractWith increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power derivatives were introduced. These insurance-like securities (ILS) allow to hedge the risk of unstable wind power production on exchanges like Nasdaq and European Energy Exchange. These products have been priced before using risk neutral pricing techniques. We present a modern and powerful methodology to model weather derivatives with very skewed underlyings incorporating techniques from extreme event modelling to tune seasonal volatility and compare transformed Gaussian and non-Gaussian CARMA(p; q) models. Our results indicate that the transformed Gaussian CARMA(p; q) model is preferred over the non-Gaussian alternative with Lévy increments. Out-of-sample backtesting results show good performance wrt burn analysis employing smooth Market Price of Risk (MPR) estimates based on NASDAQ weekly and monthly German wind power futures prices and German wind power utilisation as underlying. A seasonal MPR of a smile-shape is observed, with positive values in times of high volatility, e.g. winter months, and negative values, in times of low volatility and production, e.g. in summer months. We conclude that producers pay premiums to insure stable revenue steams, while investors pay premiums when weather risk is high.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin
dc.subjectmarket price of riskeng
dc.subjectrisk premiumeng
dc.subjectrenewable energyeng
dc.subjectwind power futureseng
dc.subjectstochastic processeng
dc.subjectCARMAeng
dc.subjectjumpeng
dc.subjectLévyeng
dc.subjecttransformeng
dc.subjectlogit-normaleng
dc.subjectextremeeng
dc.subject.ddc330 Wirtschaft
dc.titlePricing Green Financial Products
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/19453-8
dc.identifier.doihttp://dx.doi.org/10.18452/18740
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages29
local.edoc.type-nameDiskussionspapier
local.edoc.institutionWirtschaftswissenschaftliche Fakultät
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2017
local.edoc.container-issue20
local.edoc.container-erstkatid2195055-6

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