Análisis de riesgo para una empresa industrial en el mercado eléctrico español

Abstract

The deregulation of the electricity market, the

appearance of competence and new risks, has

made to emerge in the electricity sector a new

activity as it can be the trading. This new acti-

vity is due to the necessity to ensure a supply

price and transfer the risks to the speculators of

the market.

Also, it has been introduced more competence

in the retail market and the companies integra-

ted vertically have been fractionated.

Whether we compare the electric markets with

the traditional financial markets, the latters are

less complicated and more mature, considering

that the electric power has a more complex

behavior in relation to the transmission, meteo-

rology, market coupling and stocking.

Thus, the final objective of this work is to

analyze and quantify the risk that a big indus-

trial company assumes when negotiating with

electricity prices, and in this way, enhance the

industrial companies the decision-making for

getting a profit adjusted to the risk (RORAC).

For that, different tools are going to be used,

such as the Montecarlo method, the VaR and

the Black-Scholes equation.

The losses that can be obtained have been

calculated when you make a hedge by a futures

portfolio or and an options portfolio, and it

has been decided which one is more adequate

taking into account the economic loss and the

quantity of energy that can be hedged.