Consideração da incerteza na evolução dos preços futuros de energia no mercado brasileiro para portfólios com diferentes fontes de energia

Abstract

Risk management is of great importance for different players in the Brazilian Electricity Market, especially those in the ACL. This is emphasized by the inherent characteristic of the Brazilian electricity matrix, which is highly dependent on inflows due to Hydro Power Plants (HPP’s) predominance and the interdependence among different HPP’s assets arranged in the same river. This characteristic lead in past to a centralized management of resources and price formation. As a result, players seek ways to manage their financial flow through spot price forecasting ranging from days to years ahead, in order to support trading decisions between the forward market and the spot market. Given the complexity and challenges of this issue, the present work aims to more accurately model the decision-making process of an agent in the ACL within the electricity forward market. In this market, the agent can choose to trade now, await the evolution of future forward contract prices, or be exposed to the spot prices. To achieve this, a two-stage stochastic optimization problem is proposed, considering both the agent’s generation or consumption projection for the analyzed horizon, as well as the projection of the spot prices (PLD) and Generation Scaling Factor (GSF). Additionally, the risk aversion metric Conditional Value at Risk will be evaluated. Case studies will be conducted with the objectives of (1) emphasizing the advantages of the proposed model compared to the deterministic one, and (2) drawing conclusions about the strategy of each type of player based on their risk aversion. The analyses will reveal the benefits of the proposed model, as indicated by the Value of Stochastic Solution metric. Another conclusion is that risk-averse consumers always seek to purchase their demand in the forward market as soon as possible; HPP’s aim to negotiate in the forward market the figure related to the worst GSF scenario and expose the surplus to the spot prices; wind or solar generators seek to take advantage of premium forward contract price opportunities; players with mixed portfolios blend strategies of individual assets, but with a similar strategy to the predominant asset.