Risk Management in the Commercialization Activity in Brazil - An Approach by Using Markowitz, VaR and CVaR

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 ener...

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Hauptverfasser:	de Oliveira, M.F., Arfux, G.A.B., Teive, R.C.G.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	and Value-at-Risk (VaR) Commercialization Conditional Value-at-Risk (CVaR) Contracts Decision making Electricity Markets Electricity supply industry Energy measurement Investments Loss measurement Markowitz Portfolio Theory Reactive power Risk analysis Risk management
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creator	de Oliveira, M.F. Arfux, G.A.B. Teive, R.C.G.
description	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
doi_str_mv	10.1109/TDCLA.2006.311411
format	Conference Proceeding
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subjects	and Value-at-Risk (VaR) Commercialization Conditional Value-at-Risk (CVaR) Contracts Decision making Electricity Markets Electricity supply industry Energy measurement Investments Loss measurement Markowitz Portfolio Theory Reactive power Risk analysis Risk management
title	Risk Management in the Commercialization Activity in Brazil - An Approach by Using Markowitz, VaR and CVaR
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