Abstract

NAVAS, Diego Vernando; LOZANO-MONCADA, Carlos Arturo  and  MANOTAS-DUQUE, Diego Vernando. Using Simulations for Risk Assessment in Electricity Markets. Ing. Univ. [online]. 2012, vol.16, n.2, pp.363-377. ISSN 0123-2126.

In this work, based on the results of a computational tool designed and developed on a free use spreadsheet, risk management techniques are applied to identify, assess and control the financial risks associated with participation in an electricity market such as the Colombian one. This project takes place in two stages. In the first stage, the simulation model was defined (using Monte Carlo simulation) for two of the actors in the market (generators and traders); using their profit margins as the objective function. In the second stage, a computational tool implemented in a spreadsheet was used to simulate the marginal benefit of these agents. The results show that the simulation tool can be used to estimate losses or benefits (profit margins) of agents according to their degree of risk aversion.

Keywords : Electricity markets; risk management; simulation; Monte Carlo.

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