Model risk assessment projects in thermal power generation

Mónica Andrea Arango Arango

Model risk assessment projects in thermal power generation

Mónica Andrea Arango Arango

Grupo de Investigación en Ingeniería Financiera (GINIF)

Resultado de la investigación: Contribución a una revista › Artículo › revisión exhaustiva

3 Citas (Scopus)

Resumen

A proposal is made to analyze the problem of investments under uncertainty in electric power generation through the development of a methodology that uses volatility models, GARCH, IGARCH, and ARMAX, to forecast the main variables considered by decision makers in thermal generation projects that used coal as fuel. These results serve as input to estimate stochastically the value at risk of the cash flows of the project (CFAR) determined the electric market to find long-term expectations.

Idioma original	Inglés estadounidense
Publicación	Espacios
Estado	Publicada - 1 ene 2016

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