Valoración de contratos a plazo en mercados eléctricos: Aplicación al mercado ecuatoriano

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Published: 2008-12-30
DOI: https://doi.org/10.17163/ings.n3.2008.02
Keywords:
Gestión del riesgo, contratos a plazo, profit at risk

Main Article Content

Kléver Quizhpe
Álvaro Baíllo
Mariano Ventos

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.

Article Details

Issue
No. 3 (2008)
Section
Scientific Paper

 

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