Risk Analysis in the Optimization of Physical Asset Portfolios in Electrical Energy Generation

E.G. Domingues, H. Arango, J. Policarpo, G. Abreu, D.M. Camposilvan, and T.S. Domingues (Brazil)



The object of this paper is to make a risk analysis for electrical energy generation companies, which aims at the Electrical Market, perceived as an structure that involves from physical assets to the set of physical and financial instruments, destined to protect electrical investments from different risks that they are subjected to. First of all, we will give the necessary stochastic treatment to the uncertainty variables that a generation company is exposed to. The synthetic time series of these uncertainty variables were modeled by using the stochastic processes with the random walk associated with the Monte Carlo Simulation. Aspects such as: investment diversification in generation assets, search for the optimal level of contractual demand, hedging in electrical contracts and operations on a Electrical Market of Futures and Options will be presented as well.

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