2023
DOI: 10.7819/rbgn.v25i1.4209
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Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil

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).Desi… Show more

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