Valuing non-standard load profile products
Load profile products in the European OTC power markets are attracting increasing attention. However, valuations for these non-standard products can be difficult, as Cregor Janssen and Jan Lueddeke discuss
In the current European power market the only forward products listed on the exchanges are base, peak and off-peak contracts. For generators and consumers alike, these contracts are not suitable for effectively hedging a power portfolio. The optimal hedging strategy requires positions to be matched on an hourly profile. The result of the mismatch between hourly portfolio positions and the quoted base, peak and off-peak contracts for hedging is a residual hourly position that has to be taken in
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