IDEAS home Printed from https://ideas.repec.org/a/col/000174/015712.html
   My bibliography  Save this article

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/325605/20785246
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Dorfleitner, Gregor & Wimmer, Maximilian, 2010. "The pricing of temperature futures at the Chicago Mercantile Exchange," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1360-1370, June.
    2. Antonis Alexandridis K. & Achilleas D. Zapranis, 2013. "Weather Derivatives," Springer Books, Springer, edition 127, number 978-1-4614-6071-8, January.
    3. Mirela MATEI & Catalin VOICA, 2011. "The Temperature-Based Derivatives Contracts – New Products Of Weather Risk Industry," The Annals of the "Stefan cel Mare" University of Suceava. Fascicle of The Faculty of Economics and Public Administration, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration, vol. 11(1(13)), pages 141-147, June.
    4. Taylor, James W. & Buizza, Roberto, 2006. "Density forecasting for weather derivative pricing," International Journal of Forecasting, Elsevier, vol. 22(1), pages 29-42.
    5. Sandra Patricia Bello-Rodríguez & Robert Baudilio Beltrán-Ahumada, 2010. "Caracterización y pronóstico del precio spot de la energía eléctrica en Colombia," Revista de la Maestría de Derecho Económico, Universidad Javeriana - Derecho Económico, December.
    6. Kanamura, Takashi & Ohashi, Kazuhiko, 2009. "Pricing summer day options by good-deal bounds," Energy Economics, Elsevier, vol. 31(2), pages 289-297, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. José Hernández & Fernando Carvajal-Serna, 2017. "Risk coverage in the face of hydrological variability in a run-off hydraulic power plant using weather derivatives," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 191-222, Julio - D.
    2. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    3. Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
    4. repec:hum:wpaper:sfb649dp2012-067 is not listed on IDEAS
    5. Ahmet Göncü, 2013. "Comparison of temperature models using heating and cooling degree days futures," Journal of Risk Finance, Emerald Group Publishing, vol. 14(2), pages 159-178, February.
    6. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    7. Jr‐Wei Huang & Sharon S. Yang & Chuang‐Chang Chang, 2018. "Modeling temperature behaviors: Application to weather derivative valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1152-1175, September.
    8. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618.
    9. Meng, Xiaochun & Taylor, James W., 2022. "Comparing probabilistic forecasts of the daily minimum and maximum temperature," International Journal of Forecasting, Elsevier, vol. 38(1), pages 267-281.
    10. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
    11. Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021. "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, vol. 304(C).
    12. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
    13. R Fildes & K Nikolopoulos & S F Crone & A A Syntetos, 2008. "Forecasting and operational research: a review," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(9), pages 1150-1172, September.
    14. Härdle, Wolfgang Karl & López-Cabrera, Brenda & Ritter, Matthias, 2012. "Forecast based pricing of weather derivatives," SFB 649 Discussion Papers 2012-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Ahčan, Aleš, 2012. "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 131-138.
    16. Oleg Kolesnikov & Alexander Markov & Daulet Smagulov & Sergejs Solovjovs, 2019. "Cyber bonds and their pricing models," Papers 1911.06698, arXiv.org.
    17. Derek Lemoine & Sarah Kapnick, 2024. "Financial markets value skillful forecasts of seasonal climate," Nature Communications, Nature, vol. 15(1), pages 1-10, December.
    18. Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
    19. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
    20. Ritter, Matthias, 2012. "Can the market forecast the weather better than meteorologists?," SFB 649 Discussion Papers 2012-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Fuhrer, Jurg & Beniston, Martin & Calanca, Pierluigi & Torriani, Daniele Simone, 2007. "Alternative Hedging Strategies in Maize Production to Cope with Climate Variability and Change," 101st Seminar, July 5-6, 2007, Berlin Germany 9275, European Association of Agricultural Economists.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000174:015712. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Universidad de Antioquia. Facultad de Ciencias Economicas. (Laura Maria Posada Arboleda) (email available below). General contact details of provider: https://edirc.repec.org/data/ciantco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.