ETDs @PUC-Rio
| Título: | PORTFOLIO VALUATION OF ELECTRICITY CONTRACTS: AN OPTIONS THEORY APPROACH | ||||||||||||||||||||||||||||||||||||||||
| Autor: |
RODRIGO CORREA TORRES |
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| Colaborador(es): |
TARA KESHAR NANDA BAIDYA - Orientador |
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| Catalogação: | 13/JUL/2006 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||||||
| 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. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=8675&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=8675&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.8675 | ||||||||||||||||||||||||||||||||||||||||
| Resumo: | |||||||||||||||||||||||||||||||||||||||||
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The Free Contracts Environment enabled continuity of the
free market
competition process which started with the electric sector
restructure in 1997. The
shift from a regime based on renewable supply contracts to
a structure based on
prices established by competition exposes companies in the
Brazilian electric
sector to the volatility of the electricity market. In
this new environment
companies must manage the risks associated to the
operations. The Brazilian
electric sector singular features make risk management a
great challenge for
ensuing years. On the other hand, with free negotiation
enabled by the energy
trade segment within the free contracts environment,
electric energy purchase and
sale contracts started to adapt to the market needs
incorporating flexibilities
designed to face uncertainty regarding electric energy
demand in general and
prices in particular. Within this context, an electric
energy purchase and sale
portfolio valuation model was developed, incorporating the
flexibilities inherent
to commercialization activities, in order to quantify the
risks associated with this
activity and establish the value added to the portfolio by
the flexibilities. The case
studied is fictitious, but typical in the field of
electric energy trading within this
new model.
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