Keywords
risk management
simulation
Monte Carlo
How to Cite
Abstract
In this work, based on the results of acomputational tool designed and developedon a free use spreadsheet, riskmanagement techniques are applied toidentify, assess and control the financialrisks associated with participationin an electricity market such as theColombian one. This project takesplace in two stages. In the first stage,the simulation model was defined(using Monte Carlo simulation) fortwo of the actors in the market (generatorsand traders); using their profitmargins as the objective function. Inthe second stage, a computational toolimplemented in a spreadsheet wasused to simulate the marginal benefitof these agents. The results showthat the simulation tool can be usedto estimate losses or benefits (profitmargins) of agents according to theirdegree of risk aversion.
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