Using Simulations for Risk Assessment in Electricity Markets

Ingenieria y Universidad

Diego Fernando Navas¹  Carlos Arturo Lozano Moncada¹  Diego Fernando Manotas Duque¹ 

[1] Universidad del Valle

关键词: Electricity markets;    risk management;    simulation;    Monte Carlo;   

学科分类：工程和技术（综合）

来源: Pontificia Universidad Javeriana

【 摘 要 】

In this work, based on the results of acomputational tool designed and developedon a free use spreadsheet, riskmanagement techniques are applied toidentify, assess and control the financialrisks associated with participationin an electricity market such as theColombian one. This project takesplace in two stages. In the first stage,the simulation model was defined(using Monte Carlo simulation) fortwo of the actors in the market (generatorsand traders); using their profitmargins as the objective function. Inthe second stage, a computational toolimplemented in a spreadsheet wasused to simulate the marginal benefitof these agents. The results showthat the simulation tool can be usedto estimate losses or benefits (profitmargins) of agents according to theirdegree of risk aversion.

【 授权许可】

CC BY