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dc.contributor.advisorFleten, Stein-Eriknb_NO
dc.contributor.authorNordtveit, Audunnb_NO
dc.contributor.authorWatle, Kim Thomassennb_NO
dc.date.accessioned2014-12-19T14:28:19Z
dc.date.available2014-12-19T14:28:19Z
dc.date.created2013-06-02nb_NO
dc.date.issued2012nb_NO
dc.identifier624631nb_NO
dc.identifierntnudaim:7913nb_NO
dc.identifier.urihttp://hdl.handle.net/11250/266165
dc.description.abstractThe electricity price and production volume determine the revenue of a hydropower producer. Inflow variations to hydro reservoirs and high price volatility result in significant cash flow uncertainty. A copula-based Monte Carlo model is used to relate price and production volume, and to find optimal hedge ratios through minimization of risk measures such as variance, hedge effectiveness, cash flow at risk and conditional cash flow at risk. All risk measures argue for an optimal hedge ratio between 35 and 60\% of expected production. The highest risk reduction is achieved by the use of forward contracts with long time to maturity, but at the expense of a low risk premium. Conversely, short-term futures and forwards only provide marginal risk reduction, but can yield attractive positive risk premiums. These findings underline the importance of distinguishing the use of derivative contracts for speculation and hedging purposes, through positions in short-term and long-term contracts respectively.nb_NO
dc.languageengnb_NO
dc.publisherInstitutt for industriell økonomi og teknologiledelsenb_NO
dc.titleToward hedge ratios for hydropower productionnb_NO
dc.typeMaster thesisnb_NO
dc.source.pagenumber54nb_NO
dc.contributor.departmentNorges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for industriell økonomi og teknologiledelsenb_NO


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