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Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos

Author

Listed:
  • Javier Orlando Pantoja Robayo
  • Juan Fernando Rendón García
  • Alfredo Trespalacios Carrasquilla

Abstract

Quienes transan electricidad en los mercados liberalizados, estan expuestos a riesgos que requieren un analisis y tratamiento diferente al de otro tipo de commodities. La din amica del precio spot, unida a la necesidad de completar el mercado cubriendo la exposicion al riesgo de volumen, son entre otras las caracteristicas que hacen a este mercado diferente y complejo. Nuestro trabajo presenta un esquema de cobertura estatica que puede implementar un agente que busca maximizar el valor esperado de su beneficio ajustado por riesgo y enfrenta incertidumbre por volumen. El agente participa en un mercado el ectrico cuyo precio spot presenta caracteristicas de estacionalidad y reversion a la media. Asumimos como unica herramienta de cobertura disponible los contratos forward que incorporan una prima de riesgo. Como caso de estudio se presenta el mercado el ectrico colombiano. Se realiza un desarrollo teorico utilizando calculo estocastico y simulacion de Montecarlo. Encontramos que cuando hay presencia de la prima de riesgo forward, el precio del contrato tendria un drift, en cuyo caso el nivel de cobertura de un agente depender a de su nivel de aversion al riesgo, la volatilidad del volumen esperado, la prima de riesgo de largo plazo del mercado y la correlacion esperada entre volumen y precio forward.

Suggested Citation

  • Javier Orlando Pantoja Robayo & Juan Fernando Rendón García & Alfredo Trespalacios Carrasquilla, 2012. "Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos," Documentos de Trabajo CIEF 10665, Universidad EAFIT.
  • Handle: RePEc:col:000122:010665
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    Citations

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    Cited by:

    1. Javier Pantoja-Robayo & Kelly Maradey Angarita & Alfredo Trespalacios Carrasquilla, 2017. "Analysis of the financial margins required to hedge risks in electric power futures markets," Revista Ecos de Economía, Universidad EAFIT, vol. 21(45), pages 68-107, December.
    2. Trespalacios, Alfredo & Cortés, Lina M. & Perote, Javier, 2020. "Uncertainty in electricity markets from a semi-nonparametric approach," Energy Policy, Elsevier, vol. 137(C).
    3. Javier Orlando Pantoja Robayo & Kelly Maradey Angarita & Alfredo Trespalacios Carrasquilla, 2013. "Evaluación de los márgenes requeridos en un mercado de derivados de energía eléctrica," Documentos de Trabajo CIEF 11996, Universidad EAFIT.
    4. Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2019. "Modeling the electricity spot price with switching regime semi-nonparametric distributions," Documentos de Trabajo CIEF 17618, Universidad EAFIT.
    5. Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2021. "Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts," Energies, MDPI, vol. 14(11), pages 1-26, June.

    More about this item

    Keywords

    Mercado electrico; cobertura; instrumentos derivados;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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