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Estatística
Título: ESTIMATION OF THE CARBON MARKET INCREMENTAL PAYOFF FOR RENEWABLE ELECTRIC GENERATION PROJECTS IN BRAZIL: A REAL OPTION APPROACH
Autor: FABIO RODRIGO SIQUEIRA BATISTA
Colaborador(es): JOSE PAULO TEIXEIRA - Orientador
ALBERT CORDEIRO GEBER DE MELO - Coorientador
Catalogação: 23/JUL/2007 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: THESIS PRÊMIO BM&F DERIVATIVOS 2006 - BMF
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=10170&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=10170&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.10170
Resumo:
The recent ratification of the Kyoto Protocol and the heavy penalties imposed on the European firms not reducing their Greenhouse Gas emissions, make the Carbon Market a real asset for Latin America. In this context, Brazil appears as one of the biggest producers of Certified Emissions Reductions, mostly because of its potential to generate electricity power from renewable sources. Unfortunately, the real attractivity of this business is still unknown in the Brazilian Electric Sector, mainly because of the difficulties in estimating the future production level of the emission reductions and because of the existence of some managerial flexibilities that usually are note recognized in this market. In this context, the main objective of this work is to develop a methodology to evaluate the incremental payoff of the carbon market on electricity generation projects of interconnected hydrothermal systems, such as the Brazilian System. The methodologies ACM0002 [1] and AMS-I.D [2], both approved by the Kyoto Protocol Executive Board, will be used to determine the baseline of these projects. Besides that, considering that the carbon price is a random variable, the Real Option Approach will be used to evaluate the embedded managerial flexibilities on this business. The considered real option may be evaluate by using the binomial tree, least square Monte Carlo and the Grant, Vora & Weeks methods. Both the Geometric Brownian Motion and the Jump Diffusion processes will be used to model the price of the emission reductions.
Descrição: Arquivo:   
COVER, ACKNOWLEDGEMENTS, RESUMO, ABSTRACT, SUMMARY AND LISTS PDF    
CHAPTER 1 PDF    
CHAPTER 2 PDF    
CHAPTER 3 PDF    
CHAPTER 4 PDF    
CHAPTER 5 PDF    
CHAPTER 6 PDF    
CHAPTER 7 PDF    
CHAPTER 8 PDF    
REFERENCES AND APPENDICES PDF