Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil
AUTOR(ES)
Pelajo, Jonas Caldara; Gomes, Leonardo Lima; Pinto, Antonio Carlos Figueiredo; Klotzle, Marcelo Cabús
FONTE
Revista Brasileira de Gestão de Negócios
DATA DE PUBLICAÇÃO
2023
RESUMO
Abstract 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.
Documentos Relacionados
- Establishment of UK clearing house for assessing health services outcomes.
- The outcomes agenda: contribution of the UK clearing house on health outcomes.
- An empirical analysis of the external finance premium of public non-financial corporations in Brazil
- The provision of education and its impacts on college premium in Brazil
- Pandemic preparedness is like house insurance