Examinando por Autor "Restrepo Cardona, Laura"

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    Ítem
    Nivel de riesgo de mercado en el sector eléctrico colombiano considerando el impacto de los eventos climáticos, la hidrología y la generación térmica en el sistema interconectado nacional
    (Universidad EAFIT, 2024) Bermúdez Álvarez, Natalia; Restrepo Cardona, Laura; Peña Higuavita, Germán Adolfo
    The present work focuses on evaluating the level of market risk in the Colombian electrical sector, taking into account the impact of hydrological conditions on the National Interconnected System, thermal generation, and climatic events such as El Niño-Southern Oscillation (ENSO). The study will identify the variables that influence the volatility of energy prices on the stock exchange. Using an EWMA and GARCH model, the volatility of energy prices on the stock exchange will be calculated for the period from January 2015 to May 2024. Additionally, the correlation between the stock exchange energy price, the percentage of useful volume of the reservoirs, and thermal generation will be analyzed, with the aim of understanding how these conditions affect market risk in the electrical sector. The results obtained will contribute to the formulation of more effective strategies for risk management in the Colombian electrical market.