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Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants

: Palzer, A.; Westner, G.; Madlener, R.

Volltext urn:nbn:de:0011-n-3154085 (1.2 MByte PDF)
MD5 Fingerprint: a23d8dcec2e757210f9aaca1278ed96f
Erstellt am: 19.12.2014

Aachen: FCN, 2013, 47 S.
FCN Working Paper, 2/2012
Studie, Elektronische Publikation
Fraunhofer ISE ()
Thermische Anlagen und Gebäudetechnik; Energieeffiziente Gebäude; Energieeffiziente Gebäude und Gebäudetechnik; Betriebsführung von Gebäuden; Gebäudekonzepte; Analyse; Betrieb

In this paper we design and evaluate eight different strategies for hedging commodity price risks of industrial cogeneration plants. Price developments are parameterized based on EEX data from 2008-2011. The probability distributions derived are used to determine the value-at-risk (VaR) of the individual strategies, which are in a final step combined in a mean-variance portfolio analysis for determining the most efficient hedging strategy. We find that the strate-gy adopted can have a marked influence on the remaining price risk. Quarter futures are found to be particularly well suited for reducing market price risk. In contrast, spot trading of CO2 certificates is found to be preferable compared to forward market trading. Finally, portfolio optimization shows that a mix of various hedging strategies can further improve the profita-bility of a heat-based cogeneration plant.