TY - JOUR AU - Pelajo Caldara, Jonas AU - Lima Gomes, Leonardo AU - Figueiredo Pinto, Antonio Carlos AU - Cabús Klotzle, Marcelo PY - 2023/04/10 Y2 - 2024/03/29 TI - Operating Model and Estimation of the Insurance Premium for an Energy Futures Clearing House in Brazil JF - Review of Business Management JA - Rev. Bras. Gest. Neg. VL - 25 IS - 1 SE - Articles DO - 10.7819/rbgn.v25i1.4209 UR - https://rbgn.fecap.br/RBGN/article/view/4209 SP - AB - <p><strong>Purpose</strong> – 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. </p><p><strong style="font-size: 0.875rem;">Theoretical framework</strong><span style="font-size: 0.875rem;"> – The main theoretical bases were diffusion processes, with jumps and without jumps, and the pricing model developed by Merton (1976).</span></p><p><strong style="font-size: 0.875rem;">Design/methodology/approach</strong><span style="font-size: 0.875rem;"> – We developed a Monte Carlo simulation model, using diffusion processes, with and without jumps.</span></p><p><strong>Findings</strong> – 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.</p><p><strong>Practical &amp; social implications of research</strong> – 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.</p><p><strong>Originality/value</strong> – 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.</p><p><strong>Keywords</strong>: Electricity, futures markets, Monte Carlo simulation, clearing house.</p> ER -