Abstract

MEDINA HURTADO, Santiago  and  RESTREPO MORALES, Jorge Aníbal. ESTIMACIÓN DE LA UTILIDAD EN RIESGO DE UNA EMPRESA DE TRANSMISIÓN DE ENERGÍA ELÉCTRICA CONSIDERANDO VARIABLES ECONÓMICAS. Cuad. Econ. [online]. 2013, vol.32, n.59, pp.103-136. ISSN 0121-4772.

This paper presents a methodological approach to quantification of potential economic losses caused by the macroeconomic variables following: money exchange rate (TRM for its initials in Spanish), consumer price index (CPI), producer price index (PPI), fixed term deposits (DTF for its initials in Spanish), and London Interbank Basic Operational Rate (Libor), on a power transmission company. Exposure is measured calculating the Earning at risk (EaR) over the probability distribution of the company profits. The Probability distribution functions and the stochastic processes of each risk factor were identified and integrated into the financial statement, then, using Monte Carlo simulation the potential losses of each risk factor over the company financial statements were identified in order to take management decisions or hedge risks.

Keywords : market risk; earning at risk; value at risk; electric transmission.

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