Estrategia de cobertura con productos derivados para el mercado energético colombiano

Abstract

El desarrollo que ha presentado el mercado mayorista de energía en Colombia ha permitido que hoy en día se estén negociando futuros de electricidad en el mercado de capitales local. Este trabajo tiene como objetivo diseñar un producto derivado en el que subyace el precio de la electricidad. Para esto, se analiza la serie de tiempo del precio de la electricidad para modelar su volatilidad; y a partir de esta, se diseña una opción exótica tipo barrera que muestra cómo se pueden usar este tipo de productos financieros en la cobertura de riesgos de los agentes del mercado.The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agent

Effects of the COVID-19 Pandemic on the Spot Price of Colombian Electricity

“…By contrast, electricity demand is one of the most relevant spot price determinants due to the price dynamics that capture the supply and demand variations caused by the technological and organizational aspects of the electricity market [40,56,57]. Figure 2 shows the electricity price returns during the three study periods.…”

Electricity Price Fundamentals in Hydrothermal Power Generation Markets Using Machine Learning and Quantile Regression Analysis

“…activity through the influence of the operational determinants: technological and organizational (Díaz-Contreras et al, 2014;Girish and Vijayalakshmi, 2013).…”

“…Thermal generation is a backup source for hydropower generation in two specific moments: high demand or low water reservoir levels. According to Castaño and Sierra (2012), Díaz-Contreras et al (2014), Lira et al (2009), and Quintero-Quintero and Isaza-Cuervo (2013), the spot price is related to weather changes, fossil fuels to the thermal power generation, and electricity demand and supply. Likewise, power transmission failures, energy policy, or agent strategies are significant.…”

Financial hedging with derivatives and its impact on the Colombian market value for listed companies

“…Other studies (Bartram et al, 2011) focus on a large sample of nonfinancial firms including energy producers, airlines, and industrial equipment manufacturers and attempt to study the effect of derivative use on firm risk and value. Contreras, Macías Villalba, and Luna González (2014) focus on the design of a derivative product with electricity as an underlying asset, analyzing the volatility of the price of the asset through time series. They propose the design of an exotic barrier-type option, demonstrating how to use this for risk hedging in the market.…”