Título: | RISK MANAGEMENT IN RENEWABLE ENERGY COMERCIALIZATION IN BRAZIL: RISK CONSTRAINED PORTFOLIO SELECTION | ||||||||||||
Autor(es): |
DEBORA NUNES MOTA |
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Colaborador(es): |
LEONARDO LIMA GOMES - Orientador LUIZ AUGUSTO NOBREGA BARROSO - Coorientador |
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Catalogação: | 10/JUL/2012 | Língua(s): | PORTUGUESE - BRAZIL |
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Tipo: | TEXT | Subtipo: | SENIOR PROJECT | ||||||||||
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/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=19848@1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=19848@2 |
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DOI: | https://doi.org/10.17771/PUCRio.acad.19848 | ||||||||||||
Resumo: | |||||||||||||
The search for clean energy development has motivated the expansion of renewable sources of generation around the world. In Brazil, Small Hydro Plants (SHP), Cogeneration from Sugarcane waste (Biomass) and Wind Power Plants (WPP) have been proving themselves to be attractive alternatives over the last years. One important characteristic of each of these technologies is their seasonal availability, which result in financial risks that can make the energy contracting of each individual source too risky: producers are forced to price the market risks faced when selling firm energy contracts (i.e., the risks of purchasing in the spot market whenever their production is smaller than the contracted amount) and this may ultimately lead each of the projects to not being as commercially attractive (by itself). On the other hand, in Brazil these sources have complementary energy production patterns, which immediately suggest a portfolio approach to devise energy contracting strategies for Electricity Trading Companies (ETC), which can blend these different (and complementary) production patterns to offer a flat and firm energy delivery. The objective of this work is to discuss the potential of their exploitation in the creation of synergy strategies for greater efficiency and lower risk for sale of energy from biomass and SHPPs in the free market.
The proposed model aims at comparing different renewable energy trading strategies in the Brazilian forward contract market and jointly searches the risckconstrained optimal trading strategy. The CVaR approach is used to measure and control the market risk associated to the energy delivery. Case studies will be presented with realistic data from the Brazilian power system showing different strategies of commercialization by Energy trading Companies leveraging the complementarity of these sources.
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