Resumo

SANCHEZ, Mónica; LOZANO, Carlos A  e  MANOTAS, Diego. Financial-risk assessment model for electrical-energy supply bilateral contract management. Tecnura [online]. 2014, vol.18, n.39, pp.110-127. ISSN 0123-921X.

Abstract This paper presents a financial risk assessment model for the electrical-energy-sale process trough long-term bilateral contracts. The volatility exhibited by spot prices of electricity in Colombia constitutes one of the aspects of big influence in financial risk assessment within the electrical sector, where weather conditions are fundamental in the consolidation of electricity prices in a country whose major generation source is hydroelectricity. Moreover, in this paper, a case study is introduced from the perspective of one of the electricity market agents, namely the generator. The model is developed by means of probability-distribution definitions that represent input variables. Monte Carlo simulation methods were applied together with the analysis of robust risk indicators VaR (Value at Risk) and CVaR (Conditional Value at Risk), over a given time horizon and also considering different scenarios. This provides proper quantitative arguments for more detailed decision-making processes. Once the historic series of spot prices and contracts are analyzed and the analysis scenario has been deployed together with its corresponding financial risk assessment, a contracting optimal portfolio scheme (spot and bilateral contracts) is proposed based on the riskaversion level of the generator that supports the decision-making process.

Palavras-chave : value at risk (VaR); conditional value at risk (CVaR); electricity markets; bilateral contracts.

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