Title :
Risk Management in the Commercialization Activity in Brazil - An Approach by Using Markowitz, VaR and CVaR
Author :
de Oliveira, M.F. ; Arfux, G.A.B. ; Teive, R.C.G.
Author_Institution :
UFSC, Florianopolis
Abstract :
In the new competitive environment of the electricity market, risk analysis is a powerful tool to guide investors under both contract uncertainties and energy prices of the spot market. This paper compares three risk measures: medium variance, maximum loss and medium maximum loss applied to the energy commercialization problem. These methodologies are used to support the decision-making process in the investment analysis problem, considering the definition of the best contracts portfolio. It is illustrated in this paper that, techniques presented by Markowitz, value-at-risk and conditional value-at-risk theories can be used in a complementary way, improving the quality of decision in the energy commercialization problem
Keywords :
decision making; investment; power markets; power system economics; risk management; Markowitz technique; contract uncertainties; contracts portfolio; decision-making process; electricity market; energy commercialization activity; energy prices; investment analysis problem; risk analysis; risk management; value-at-risk theory; Commercialization; Contracts; Decision making; Electricity supply industry; Energy measurement; Investments; Loss measurement; Reactive power; Risk analysis; Risk management; Conditional Value-at-Risk (CVaR); Electricity Markets; Markowitz Portfolio Theory; Risk Analysis; and Value-at-Risk (VaR);
Conference_Titel :
Transmission & Distribution Conference and Exposition: Latin America, 2006. TDC '06. IEEE/PES
Conference_Location :
Caracas
Print_ISBN :
1-4244-0287-5
Electronic_ISBN :
1-4244-0288-3
DOI :
10.1109/TDCLA.2006.311411
