Three essays on risk management in electric power markets

1 CD-ROM

Autores:: Pantoja Robayo, Javier Orlando

Tipo de recurso:

Fecha de publicación:: 2011

Institución:: Universidad EAFIT

Repositorio:: Repositorio EAFIT

Idioma:: eng

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dc.title.eng.fl_str_mv	Three essays on risk management in electric power markets
title	Three essays on risk management in electric power markets
spellingShingle	Three essays on risk management in electric power markets Administración de Riesgos Mercadeo de Energía Eléctrica Tesis. Doctorado en Administración Financial economics Investment and investments ADMINISTRACION DE RIESGOS ENERGIA ELECTRICA - MERCADEO ELECTRICIDAD - PRECIOS RIESGO (ECONOMIA) TESIS Y DISERTACIONES ACADEMICAS Risk management Electric power marketing Thesis. PhD in Management
title_short	Three essays on risk management in electric power markets
title_full	Three essays on risk management in electric power markets
title_fullStr	Three essays on risk management in electric power markets
title_full_unstemmed	Three essays on risk management in electric power markets
title_sort	Three essays on risk management in electric power markets
dc.creator.fl_str_mv	Pantoja Robayo, Javier Orlando
dc.contributor.author.spa.fl_str_mv	Pantoja Robayo, Javier Orlando
dc.subject.spa.fl_str_mv	Administración de Riesgos Mercadeo de Energía Eléctrica Tesis. Doctorado en Administración
topic	Administración de Riesgos Mercadeo de Energía Eléctrica Tesis. Doctorado en Administración Financial economics Investment and investments ADMINISTRACION DE RIESGOS ENERGIA ELECTRICA - MERCADEO ELECTRICIDAD - PRECIOS RIESGO (ECONOMIA) TESIS Y DISERTACIONES ACADEMICAS Risk management Electric power marketing Thesis. PhD in Management
dc.subject.ddc.spa.fl_str_mv	Financial economics Investment and investments
dc.subject.lemb.spa.fl_str_mv	ADMINISTRACION DE RIESGOS ENERGIA ELECTRICA - MERCADEO ELECTRICIDAD - PRECIOS RIESGO (ECONOMIA) TESIS Y DISERTACIONES ACADEMICAS
dc.subject.keyword.eng.fl_str_mv	Risk management Electric power marketing Thesis. PhD in Management
description	1 CD-ROM
publishDate	2011
dc.date.issued.none.fl_str_mv	2011
dc.date.available.none.fl_str_mv	2013-10-15T16:20:54Z
dc.date.accessioned.none.fl_str_mv	2013-10-15T16:20:54Z
dc.type.eng.fl_str_mv	doctoralThesis
dc.type.none.fl_str_mv	info:eu-repo/semantics/doctoralThesis
dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_db06
dc.type.local.spa.fl_str_mv	Tesis Doctoral
dc.type.hasVersion.eng.fl_str_mv	acceptedVersion
dc.identifier.other.none.fl_str_mv	332.6CD P198
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url	http://hdl.handle.net/10784/1146
dc.language.iso.eng.fl_str_mv	eng
language	eng
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dc.rights.local.spa.fl_str_mv	Acceso abierto
rights_invalid_str_mv	Acceso abierto http://purl.org/coar/access_right/c_abf2
dc.coverage.spatial.eng.fl_str_mv	Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv	Universidad EAFIT
dc.publisher.program.spa.fl_str_mv	Doctorado en Administración
dc.publisher.department.spa.fl_str_mv	Escuela de Administración
institution	Universidad EAFIT
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spelling	Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2013-10-15T16:20:54Z20112013-10-15T16:20:54Z332.6CD P198http://hdl.handle.net/10784/11461 CD-ROMThis dissertation has arisen in the context of the electric power markets, the study of risk management and the relations between physical production and the electricity transactions using financial contracts in particular. Electricity is very difficult to compare with any other commodity, since it has a peculiar characteristic; electricity “must be produced at exactly the same time as it is consumed”. The technological inability to store electricity efficiently and the characteristics of marginal production costs create jumps in the spot price. The electricity power market is heavily incomplete. Load-matching problems occur because electricity prices show volatility because of unexpected variations due to climatic conditions and other associated risk factors. A branch of the literature in risk management has tried to give a definitive answer to the question of how agents in the markets with non-storable underlying asset could hedge their exposure to volatile price and quantity. The first essay tackles the basis of this question, which is the implication of the price of risk when forward risk premia are presented. This essay also shows how the properties and variations of forward risk premia is explained by risk factors variations on expected spot prices, and unexpected changes on the available quantity of water to generate electric power. Forward risk premia are the measure, hour by hour throughout the day, of the price of risk that the agents pay to trade electric power using forward contracts. In this essay forward premia were measured from the unregulated market segment. The results indicate that the average expected forward risk premia could have a positive behavior in seventeen out of twenty-four hours. These results represent the equilibrium compensation for bearing the price risk of the electric power for one year. In the Colombian market, the risk taker is the marketer, specifically in the unregulated market segment, because they are assuming the price risk in the long-term negotiations. The marketer, represented by this demand, tries to ensure their future Profit and Losses P&L and so they sacrifice their premia. It is relevant for further studies to evaluate the efficiency of this market, and the characteristics to determine why the marketer is willing to pay forward risk premia and why the generator has a better position to receive this bonus. Exploring the optimization problem of portfolios my second essay asks whether the agents in the electric power market could hedge their exposure to uncertainties; price and quantity. We propose a close form solution for the optimization problem of portfolios composed by two claims, price and weather, according to factors influencing electric power markets such as price volatility, price spikes, and climatic conditions that influence volume volatility. Results show a positive correlation among price, quantity, and the weather variable. In order to apply the optimal static hedging that includes the second claim on weather indexes for seasonal countries such as United States and tropical countries such as Colombia, the third essay shows an application of the static hedging model, using parameters from US market(PJM), and Colombian market (WPMC2). For the PJM, I used weather indexes from Chicago Mercantile Exchange Group, and the hydrological index from WPMC which is based on the hydrological contributions of rivers on dam levels. We verify that El Niño and La Niña phenomena also influence quantity variations, and the agents in those markets are exposed to both price and quantity volatiles.Introduction – I. Modelling Risk for Electric Power Market -- Bibliography – Appendix – II. Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results – III. Applications of Optimal Static Hedging of Energy Price and Volume Risk to markets in the US and Colombia -- IV. Final Discussion -- BibliographyengUniversidad EAFITDoctorado en AdministraciónEscuela de AdministraciónAdministración de RiesgosMercadeo de Energía EléctricaTesis. Doctorado en AdministraciónFinancial economicsInvestment and investmentsADMINISTRACION DE RIESGOSENERGIA ELECTRICA - MERCADEOELECTRICIDAD - PRECIOSRIESGO (ECONOMIA)TESIS Y DISERTACIONES ACADEMICASRisk managementElectric power marketingThesis. PhD in ManagementThree essays on risk management in electric power marketsdoctoralThesisinfo:eu-repo/semantics/doctoralThesisTesis DoctoralacceptedVersionhttp://purl.org/coar/resource_type/c_db06Acceso abiertohttp://purl.org/coar/access_right/c_abf2Pantoja Robayo, Javier OrlandoDoctor en Administración (Ph.D.)ORIGINALJavierOrlando_PantojaRobayo_2011.pdfJavierOrlando_PantojaRobayo_2011.pdfDocumento principalapplication/pdf1769507https://repository.eafit.edu.co/bitstreams/23a1a421-b872-49bc-a2ed-244198353b1c/download22cf7c3093963ea758f097ebab45aa77MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-8968https://repository.eafit.edu.co/bitstreams/48bc7590-87ed-4f25-88cd-875aff6ed900/download4cc960a42e07fca3808fbd6b90ab2a1fMD5210784/1146oai:repository.eafit.edu.co:10784/11462014-07-02 14:52:21.248open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.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

Three essays on risk management in electric power markets

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