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Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos

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  • Hernández Arango, José Miguel
  • Carvajal-Serna, Luis Fernando

Abstract

Resumen: Colombia tiene un sistema de generación eléctrica con una participación del 68 % de componente hidráulico y del 32 % de componente térmico, lo cual hace que el sistema sea vulnerable al riesgo hidrológico. Este artículo presenta la metodología de construcción de un índice usando la teoría de derivados climáticos como estrategia para cubrirse del riesgo hidrológico en una central hidráulica a filo de agua. El índice, denominado caudal para generación, se construye teniendo en cuenta dos casos de variable subyacente: el caudal y la precipitación. En ambos casos se demuestra que el índice es una alternativa para la disminución de la volatilidad de los ingresos por venta de energía: en el caso del caudal la disminución es del 92 % y en el de la precipitación es del 38 %, comprobándose así su efectividad como cobertura frente al riesgo hidrológico. Abstract: Colombia’s power plant system has a 68 % share of hydraulic component and a 32 % share of thermic component. Such a composition makes the system vulnerable to hydrological variability. With the aim to develop a strategy to cover against hydrological risk in a run-off hydraulic power plant, this paper shows a methodology to build an index based on the theory of weather derivatives. The index, named charge for generation, is built using stream flows and precipitation as underlying variables. The results show that the index is an alternative to reduce the volatility of revenues from energy sales in 92 % in the case of stream flows, and in 38 % for precipitation. Thus, the proposed index is effective as coverage against hydrological risk.

Suggested Citation

  • Hernández Arango, José Miguel & Carvajal-Serna, Luis Fernando, 2017. "Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 191-222, March.
    • Handle: RePEc:col:000174:015712
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    References listed on IDEAS

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    More about this item

    Keywords

    sistema eléctrico colombiano; derivados climáticos; central hidráulica a filo de agua; cobertura al riesgo; riesgo hidrológico;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities

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