Resumo

GONZALEZ SANCHEZ, Mariano. Flow energy at risk (FEaR): An electrical energy market risk estimation proposal. Cuad. Adm. [online]. 2006, vol.19, n.32, pp.255-293. ISSN 0120-3592.

Espousing the risk estimation hypotheses of markets with no friction used in asset valuation leads to erroneous market risk estimations. To overcome this inconvenience, financial literature usually presents more information on market positioning (price, volume, long or short positioning) and on market operations (volume, price, timeframe). Another problem area is applying the habitual methodologies of measuring risk without adjusting liquidity (value at risk [VaR]) or (liquidity value at risk [L-VaR]) to organized electrical energy spot markets because they set prices differently and because of electricity prices have a particular behavior. Therefore, this paper implements a risk methodology estimation (FEaR) that takes those problems into account. It also demonstrates that the solution for opposite positioning is not symmetrical, that is to say, the risk for long positioning (generators) does not match the risk for short positioning (distributors) so the relation between risk and volume is not linear.

Palavras-chave : Electrical energy markets; cash flow at risk; liquidity risk; volume.

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