Uma contribuição à avaliação de contratos bilaterais de suprimento de energia elétrica

Abstract

Electrical power companies’ activities are inserted in an environment full of uncertainties, in which it can be emphasized the uncertainty present in the trading activity. The trend pointed out by the Brazilian authorities responsible for the energy policy indicates to the use of long term electricity trading contracts, nominated Power Purchase Agreements, by means of mitigating the risks inherent to the electricity trading activity and guarantying the attractiveness to the investors in electrical system expansion. This dissertation presents a tool that can be used in the analysis of Power Purchase Agreements, making possible to valuate their expected financial revenue and the related risk. Firstly, the structure of the nominated Initial Contracts is presented, being the later used as reference to the proposal of different structures for electricity supply bilateral contracts. The structures of the contracts will serve as reference to the identification of the variables that introduce risk to the revenue of the contracts as well. As it will be seen, these variables are electricity spot price and electricity consumption. Their behavior can be modeled on forecasting stochastic models, introducing the random characteristic inherent to these variables into the revenue of the contracts. Indeed, it will be demonstrated that the uncertainty revenue in the contracts can be modeled using structures similar to options (specific derivative security). So, these options embedded in the revenue formulae are identified and a probabilistic method to valuate them is presented. Concluding the dissertation, examples of analysis of the proposed electricity bilateral contracts are presented, making use of the analysis tool presented.