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Master's Dissertation
DOI
10.11606/D.18.2012.tde-20092012-080148
Document
Author
Full name
Artur Barbosa Bernardes Ferreira
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2012
Supervisor
Committee
Carneiro, Adriano Alber de França Mendes (President)
Ramos, Dorel Soares
Sacchi, Rodrigo
Title in Portuguese
Sistema de suporte à decisão contratual ótima de UHEs no mercado de energia elétrica utilizando gerenciamento de risco
Keywords in Portuguese
Ambiente de livre contratação
Conditional value at risk
Gerenciamento de risco
Mercado de energia elétrica
Abstract in Portuguese
O modelo de comercialização de energia elétrica operante no Brasil é fruto da reestruturação do Setor Elétrico Brasileiro (SEB), que se iniciou na década de 90. Este modelo atual, mais estruturado, impulsionou os investimentos privados no setor nos últimos anos, fazendo com que a comercialização de energia se tornasse algo de grande representatividade dentro do setor elétrico. Este modelo de comercialização como é hoje, dividido em dois ambientes, dinâmico e em constante evolução, é alvo de inúmeros investidores, principalmente no Ambiente de Contratação Livre (ACL) onde o número de agentes cresceu consideravelmente nos últimos anos, e gerou movimentações financeiras recordes. Associado a este crescimento expressivo, os riscos inerentes de mercado também se mostram relevantes e de fundamental necessidade de gerenciamento para o equilíbrio financeiro do investidor. Dessa forma, este trabalho propõe uma análise acerca da comercialização de energia no mercado brasileiro, quanto ao gerenciamento do risco por parte de um agente gerador operando no ACL, através da implementação de um otimizador contratual que ajude na tomada de decisão de quanta energia destinar a cada contrato, de modo a maximizar a receita do agente a um risco controlável.
Title in English
A decision support system optimal contractual in the electricity market using risk management
Keywords in English
Conditional value at risk
Electricity market
Free contracting environment
Risk management
Abstract in English
The present marketing model of electric power in Brazil is the result of the restructuring of the Brazilian Electric Sector (BES), which began in the 90s. This current model, somewhat more structured, stimulated private investment in the sector in recent years; this way the electric power´s market acquired substantial representation within the electricity sector. The current market model, having two different commercial environments, dynamic and constantly evolving, has been attracting many investors, especially in the Free Contracting Environment (FCE) where the number of agents has grown considerably in recent years, and generated record number of financial transactions. Associated with this significant growth, the inherent risks in this market are effectively of concern and need being managed to ensure the financial balance of the investor. Therefore, this work proposes an analysis about the energy trading in the Brazilian market, as to the management of risk by an agent generator operating in the FCE, through the implementation of a contract optimizer that helps in making decisions on how construct a contract portfolio in order to maximizes the agent revenue under a controllable risk.
 
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Publishing Date
2012-09-25
 
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