Valoración de contratos a plazo en mercados eléctricos: Aplicación al mercado ecuatoriano
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Abstract
Los mercados de energía eléctrica se caracterizan por la extremada volatilidad del precio spot. La incertidumbre asociada al precio es una fuente de riesgo tanto para los agentes vendedores (compañías de generación) como para los agentes compradores. Por este motivo, se hace necesario desarrollar herramientas y metodologías de análisis, valoración y gestión del riesgo asociado al negocio de generación. En este documento se propone, formula y desarrolla un procedimiento para la valoración de contratos mayoristas de electricidad a largo plazo con el objetivo de lograr un adecuado equilibrio entre riesgo y rentabilidad en el contexto de las empresas de generación que operan en el mercado eléctrico ecuatoriano.
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References
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R. Kaye, H. Outhred, and C.Bannister, Forward contracts for the operation of an electricity industry under spot pricing, IEEE Transactions on Power Systems, vol. 5, pp. 46-52, 1990.
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D. Pilipovic, Energy Risk: Irwin Professional Publishing, 1997.
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L. Clewlow and C. Strickland, Energy Derivatives pricing and risk management, London: Lacima publications, 2000.
J. Barquín, A. Garro, E. Sanchez, and S. Tejero, A new model for electricity price series Modelling and forward and volatility curves computation, presented at 8th International Conference on Probabilistic Methods Applied to Power Systems, Iowa State University, Iowa, 2004.
K. Quizhpe, Modelo de explotación a medio plazo de la generación, aplicación al mercado eléctrico ecuatoriano, in Instituto de postgrado y formación continua. Madrid: Universidad Pontificia Comillas, 2005.
A. Brooke, D. Kendrick, and A. Meeraus, GAMS a User's Guide, GAMS Development Corporation, 1998.
F. Black and M. Scholes, The pricing of options and corporate liabilities, The Journal of Political Economy, 1973.
R. C. Merton, Theory of rational option pricing, Bell Journal of Economics and Management Science, 1973.
M. Brennan and E. Schwartz, Evaluating natural resource investments, Journal of Business, 1985.
H. Markowicz, Portfolio Selection: Efficient Diversification of Investments. New York: Wiley, 1959.
T. S. Chung, S. H. Zhang, C. W. Yu, and K. P. Wong, Electricity market risk management using forward contracts with bilateral options, IEE Proceedings Gener. Transm. Distrib, vol. 150, 2003.
B. Marzano, L. Melo, and A.Souza, An approach for portfolio optimization of energy contracts in the Brazilian electric sector, presented at Power Tech Conference Proceedings, 2003 IEEE Bologna, 2003.
D. Bunn, Modelling Prices in Competitive Electricity Markets: John Wiley & Sons, Ltd., 2004.
C. Batlle, Modelo de Análisis de Riesgos asociados al negocio de producción eléctrica, in Instituto de Investigación Tecnologica, IIT. Madrid: Universidad Pontificia Comillas, 2002.
R. Kaye, H. Outhred, and C.Bannister, Forward contracts for the operation of an electricity industry under spot pricing, IEEE Transactions on Power Systems, vol. 5, pp. 46-52, 1990.
A. Eydeland and H. Geman, Fundamentals of electricity derivative pricing, in Energy Modelling and Management of Uncertainty, R. Jameson, Ed.: Risk books, 1999.
D. Pilipovic, Energy Risk: Irwin Professional Publishing, 1997.
E. Schwartz and J. E. Smith, Shortterm variations and long-term dynamics in commodity prices, Management Science, vol. 46, pp. 893911, 2000.
L. Clewlow and C. Strickland, Energy Derivatives pricing and risk management, London: Lacima publications, 2000.
J. Barquín, A. Garro, E. Sanchez, and S. Tejero, A new model for electricity price series Modelling and forward and volatility curves computation, presented at 8th International Conference on Probabilistic Methods Applied to Power Systems, Iowa State University, Iowa, 2004.
K. Quizhpe, Modelo de explotación a medio plazo de la generación, aplicación al mercado eléctrico ecuatoriano, in Instituto de postgrado y formación continua. Madrid: Universidad Pontificia Comillas, 2005.
A. Brooke, D. Kendrick, and A. Meeraus, GAMS a User's Guide, GAMS Development Corporation, 1998.
F. Black and M. Scholes, The pricing of options and corporate liabilities, The Journal of Political Economy, 1973.
R. C. Merton, Theory of rational option pricing, Bell Journal of Economics and Management Science, 1973.
M. Brennan and E. Schwartz, Evaluating natural resource investments, Journal of Business, 1985.
H. Markowicz, Portfolio Selection: Efficient Diversification of Investments. New York: Wiley, 1959.
T. S. Chung, S. H. Zhang, C. W. Yu, and K. P. Wong, Electricity market risk management using forward contracts with bilateral options, IEE Proceedings Gener. Transm. Distrib, vol. 150, 2003.
B. Marzano, L. Melo, and A.Souza, An approach for portfolio optimization of energy contracts in the Brazilian electric sector, presented at Power Tech Conference Proceedings, 2003 IEEE Bologna, 2003.
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Published
Dec 30, 2008
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Scientific Paper