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Evaluación de los márgenes requeridos en un mercado de derivados de energía eléctrica

Author

Listed:
  • Javier Orlando Pantoja Robayo
  • Kelly Maradey Angarita
  • Alfredo Trespalacios Carrasquilla

Abstract

Los mercados de contratos futuros tienen como fortaleza la eliminación del riesgo de contraparte, para esto es importante el nivel de garantías que las cámaras de riesgo exigen a los participantes del mercado -- Estas garantías deben cubrir las variaciones extremas del precio del producto, pero no deben ser excesivas porque reducen la cantidad de eventuales participantes en el mercado -- En este trabajo se propone una metodología alternativa para la estimación de las garantías del mercado de futuros en energía eléctrica, como caso de estudio se presenta el mercado colombiano -- Se realiza simulación de Montecarlo para evaluar las variaciones diarias que puede tener el precio de los futuros y se estiman medidas de riesgo con diferentes escenarios de Nino, días de tenencia y vencimientos -- Se encuentra que la nueva metodología propuesta modifica sustancialmente los niveles de garantía, frente a la metodología actual de cálculo, adicionalmente, se enuncian los factores que alteran su definición

Suggested Citation

  • Javier Orlando Pantoja Robayo & Kelly Maradey Angarita & Alfredo Trespalacios Carrasquilla, 2013. "Evaluación de los márgenes requeridos en un mercado de derivados de energía eléctrica," Documentos de Trabajo de Valor Público 11996, Universidad EAFIT.
    • Handle: RePEc:col:000122:011996
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    References listed on IDEAS

    as
    1. Gloria Stella Salazar Marín & Javier Pantoja, 2010. "Los precios forward sobre electricidad. ¿Determinados racionalmente por los agentes del mercado colombiano?," Revista Ad-Minister, Universidad EAFIT, December.
    2. Geman, Hélyette & Roncoroni, Andrea, 2003. "A Class of Marked Point Processes for Modelling Electricity Prices," ESSEC Working Papers DR 03004, ESSEC Research Center, ESSEC Business School.
    3. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    5. Javier Orlando Pantoja Robayo & Juan Fernando Rendón García & Alfredo Trespalacios Carrasquilla, 2012. "Estrategia de Cobertura a Través de Contratos Forward en Mercados Eléctricos," Documentos de Trabajo de Valor Público 10665, Universidad EAFIT.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    electricity futures market; electricity spot market; guarantees; Value at Rissk; Conditional Value at Risk;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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