Mostrar el registro sencillo del ítem

dc.contributor.advisorQuintero, Juan Bernardo
dc.contributor.authorPimienta Fajardo, Lina María
dc.coverage.spatialLat: 06 15 00 N  degrees minutes  Lat: 6.2500  decimal degreesLong: 075 36 00 W  degrees minutes  Long: -75.6000  decimal degrees
dc.date.accessioned2021-04-20T18:33:35Z
dc.date.available2021-04-20T18:33:35Z
dc.date.created2020-02-27
dc.identifier.otherCD-ROM 9113 2019
dc.identifier.urihttp://hdl.handle.net/11407/6250
dc.descriptionEl presente trabajo de investigación revisa los métodos y técnicas para la gestión de riesgos financieros de mercado y las variables que son consideradas para tal fin. Tiene como objetivo proponer un modelo de simulación que incluya los elementos requeridos para la gestión de dichos riesgos el cual servirá de apoyo para el mercado eléctrico mayorista de México. Este modelo se utilizará como base para que, en un futuro cercano, MVM Ingeniería de Software S.A.S. desarrolle el módulo o producto a incorporar en la plataforma Energy Suite, permitiendo ampliar el alcance del producto.
dc.description.abstractThe present research work reviews the methods and techniques for managing the financial risks of the market and the variables that are considered for that purpose. Its objective is to propose a simulation model that corresponds to the elements required for the management of said risks, which is the support service for the wholesale electricity market in Mexico. This model is used as a basis for the near future, MVM Ingeniería de Software S.A.S. develop the module or product to be incorporated into the Energy Suite platform, to expand the scope of the product.
dc.format.extentp. 1-81
dc.format.mediumElectrónico
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0
dc.subjectRiesgos financieros
dc.subjectSimulación
dc.subjectGestión de riesgos
dc.subjectMercado eléctrico mayorista
dc.subjectMéxico
dc.titleDiseño de un modelo de simulación para la gestión de riesgos de mercado en Mercados de Energía Eléctrica: caso MVM
dc.rights.accessrightsinfo:eurepo/semantics/openAccess
dc.publisher.programMaestría en Ingeniería de Software
dc.subject.lembAdministración de riesgos - Métodos de simulación
dc.subject.lembEnergía eléctrica - Mercadeo
dc.subject.lembIngeniería de software
dc.subject.lembRiesgo (Finanzas)
dc.subject.lembSimulación por computadores
dc.subject.keywordFinancial risks
dc.subject.keywordSimulation
dc.subject.keywordRisk management
dc.subject.keywordWholesale electricity market
dc.subject.keywordMexico
dc.relation.citationstartpage1
dc.relation.citationendpage81
dc.audienceComunidad Universidad de Medellín
dc.publisher.facultyFacultad de Ingenierías
dc.publisher.placeMedellín
dc.relation.references(C) Copyright IBM Corporation 1994, 2012. (n.d.). Manual CRISP-DM de IBM SPSS Modeler. Retrieved from ftp://ftp.software.ibm.com/software/analytics/spss/documentation/modeler/15.0/es/CRISP-DM.pdfspa
dc.relation.referencesAlgarvio, H., Lopes, F., Sousa, J., & Lagarto, J. (2017). Multi-agent electricity markets: Retailer portfolio optimization using Markowitz theory. Electric Power Systems Research, 148, 282–294. https://doi.org/10.1016/j.epsr.2017.02.031spa
dc.relation.referencesAlgarvio, Hugo, & Lopes, F. (2014). Risk Management and Bilateral Contracts in Multi-agent Electricity Markets (pp. 297–308). Springer, Cham. https://doi.org/10.1007/978-3-319-07767-3_27spa
dc.relation.referencesAmjady, N., & Vahidinasab, V. (2013). Security-constrained self-scheduling of generation companies in day-ahead electricity markets considering financial risk. Energy Conversion and Management, 65, 164–172. https://doi.org/10.1016/j.enconman.2012.07.008spa
dc.relation.referencesAndrocec, I., & Krajcar, S. (2013). Investment criteria and risk calculation in regional electricity trading. In Eurocon 2013 (pp. 1285–1292). IEEE. https://doi.org/10.1109/EUROCON.2013.6625145spa
dc.relation.referencesBanks, J. (1998). Handbook of simulation : principles, methodology, advances, applications, and practice. Wiley.spa
dc.relation.referencesBusiness, Q. G. (2008). Diplomado Mercado Eléctrico Mayorista | Quality Global Business - The Global Training Provider Company. Retrieved March 19, 2018, from https://www.qualityrd.com/?product=diplomado-mercado-electrico-mayoristaspa
dc.relation.referencesCaicedo, G., Rudnick, H., & Sauma, E. E. (2014). Auction mechanisms for long-term electricity contracts: Application to the Colombian market. IEEE Latin America Transactions, 12(4), 609–617. https://doi.org/10.1109/TLA.2014.6868862spa
dc.relation.referencescenace.gob.mx. (n.d.). Precios Marginales Locales. Retrieved October 14, 2019, from https://www.cenace.gob.mx/SIM/VISTA/REPORTES/PreEnergiaSisMEM.aspxspa
dc.relation.referencesColciencias. (2017). Convocatoria para proyectos de investigación, desarrollo tecnológico e innovación que aspiran a obtener beneficios tributarios por inversiones a partir del año 2017 | COLCIENCIAS. Retrieved from http://www.colciencias.gov.co/convocatorias/innovacion/convocatoria-para-obtener-deducciones-tributarias-por-inversiones-en-idi-0spa
dc.relation.referencesCommodity Technology Advisory. (2017). SourceBook 2017 | CTRM Center. Retrieved from https://www.ctrmcenter.com/publications/sourcebook-2017/spa
dc.relation.referencesCousineau, D., & Engmann, S. (2015). Comparing distributions : the two-sample Anderson – Darling test as an alternative to the Kolmogorov – Smirnov test. Journal of Applied Quantitative Methods, 6(May), 1–17. Retrieved from http://www.jaqm.ro/issues/volume-6,issue-3/1_engmann_cousineau.phpspa
dc.relation.referencesDagoumas, A. S., Koltsaklis, N. E., & Panapakidis, I. P. (2017). An integrated model for risk management in electricity trade. Energy, 124, 350–363. https://doi.org/10.1016/j.energy.2017.02.064spa
dc.relation.referencesDíaz, P., & Fernández, P. (2001). La distribución normal. Retrieved July 10, 2019, from https://www.fisterra.com/mbe/investiga/distr_normal/distr_normal.aspspa
dc.relation.referencesDiwakar, R. (2017). An evaluation of normal versus lognormal distribution in data description and empirical analysis. Practical Assessment, Research and Evaluation, 22(13), 1–15.spa
dc.relation.referencesEvans, E. (2015). Domain-driven design reference : definitions and patterns summaries.spa
dc.relation.referencesGarcía, B., & Gutiérrez, A. (2018). Modelos de negocio para la generación de electricidad con energías renovables en México. Ciudad de México. Retrieved from http://www.bancomext.com/spa
dc.relation.referencesGARRIGA TRILLO, A. J., LUBIN PIGOUCHE, P., MERINO MERINO, J. M., PADILLA SUÁREZ, M., RECIO SABOYA, P., & SUÁREZ FALCÓN, J. C. (2010). Introducción al análisis de datos. (UNED, Ed.). Madrid, España. Retrieved from https://books.google.com.co/books?hl=es&lr=&id=qe6tGv4cnhsC&oi=fnd&pg=PA1&dq=%22introducción+al+análisis+de+datos%22&ots=cFm_D6WFRU&sig=1JC4XG3uRwPDL7egiPf325SBzyk&redir_esc=y#v=onepage&q=%22introducción al análisis de datos%22&f=falsespa
dc.relation.referencesHolt, C. A., & Laury, S. K. (2002). Risk Aversion and Incentive Effects. American Economic Review, 92(5), 1644–1655. https://doi.org/10.1257/000282802762024700spa
dc.relation.referencesJiang, J. N., & Kang, C. (2016). A comparative view of risk management in financial sector and in next generation power grid operation. In 2016 International Conference on Probabilistic Methods Applied to Power Systems (PMAPS) (pp. 1–6). IEEE. https://doi.org/10.1109/PMAPS.2016.7764181spa
dc.relation.referencesKruchten, P. (n.d.). Planos Arquitectónicos: El Modelo de “4+1” Vistas de la Arquitectura del Softwarespa
dc.relation.references. Retrieved from http://cic.puj.edu.co/wiki/lib/exe/fetch.php?media=materias:modelo4_1.pdfspa
dc.relation.referencesKvam, P. H., & Vidakovic, B. (2007). Nonparametric statistics with applications to science and engineering. Wiley-Interscience.spa
dc.relation.referencesLimpert, E., & Stahel, W. A. (2011). Problems with using the normal distribution--and ways to improve quality and efficiency of data analysis. PloS One, 6(7), e21403. https://doi.org/10.1371/journal.pone.0021403spa
dc.relation.referencesLorca, Á., & Prina, J. (2014). Power portfolio optimization considering locational electricity prices and risk management. Electric Power Systems Research, 109, 80–89. https://doi.org/10.1016/j.epsr.2013.12.004spa
dc.relation.referencesMaier, S., Street, A., & McKinnon, K. (2016). Risk-averse portfolio selection of renewable electricity generator investments in Brazil: An optimised multi-market commercialisation strategy. Energy, 115, 1331–1343. https://doi.org/10.1016/j.energy.2016.09.064spa
dc.relation.referencesManco, O., Botero, O., & Medina, S. (2016). Risker: Platform Implementation of Complex System Model for Financial Risk Management in Energy Markets. Procedia Computer Science, 83, 1078–1083. https://doi.org/10.1016/J.PROCS.2016.04.226spa
dc.relation.referencesMartinez, Y. C. C., & Valencia, L. B. (2003). Portfolio theory based approach to risk management in electricity markets: Colombian case study. In IEEE Systems and Information Engineering Design Symposium, 2003 (pp. 35–40). IEEE. https://doi.org/10.1109/SIEDS.2003.158001spa
dc.relation.referencesMathuria, P., Bhakar, R., & Li, F. (2015). GenCo’s optimal power portfolio selection under emission price risk. Electric Power Systems Research, 121, 279–286. https://doi.org/10.1016/J.EPSR.2014.11.006spa
dc.relation.referencesOracle. (n.d.). Ayudas Crystal Ball. Retrieved from https://docs.oracle.com/cd/E52437_01/en/crystal_ball_users_guide/frameset.htm?spa
dc.relation.referencesPinto, T., Sousa, T. M., Praça, I., Vale, Z., & Morais, H. (2016). Support Vector Machines for decision support in electricity markets ׳ strategic bidding. Neurocomputing, 172, 438–445. https://doi.org/10.1016/j.neucom.2015.03.102spa
dc.relation.referencesPousinho, H. M. I., Contreras, J., Bakirtzis, A. G., & Catalao, J. P. S. (2013). Risk-Constrained Scheduling and Offering Strategies of a Price-Maker Hydro Producer Under Uncertainty. IEEE Transactions on Power Systems, 28(2), 1879–1887. https://doi.org/10.1109/TPWRS.2012.2229473spa
dc.relation.referencesPrabavathi, M., & Gnanadass, R. (2015). Energy bidding strategies for restructured electricity market. International Journal of Electrical Power & Energy Systems, 64, 956–966. https://doi.org/10.1016/j.ijepes.2014.08.018spa
dc.relation.referencesReynoso, C. B. (n.d.). Introducción a la Arquitectura de Software. Retrieved from http://carlosreynoso.com.ar/archivos/arquitectura/Arquitectura-software.pdfspa
dc.relation.referencesRiccio, rancisco. (n.d.). Oracle Crystal Ball 11.1 - Simulación Monte Carlo. Retrieved July 3, 2019, from https://www.oracle.com/technetwork/es/articles/oem/oracle-crystal-ball11-1-4434142-esa.htmlspa
dc.relation.referencesSanda, G. E., Olsen, E. T., & Fleten, S.-E. (2013). Selective hedging in hydro-based electricity companies. Energy Economics, 40, 326–338. https://doi.org/10.1016/j.eneco.2013.06.018spa
dc.relation.referencesShinde, P. U., & Deshmukh, S. R. (2014). Risk management in electricity market by portfolio optimization. In 2014 Annual IEEE India Conference (INDICON) (pp. 1–6). IEEE. https://doi.org/10.1109/INDICON.2014.7030542spa
dc.relation.referencesSimbaqueba, L. (n.d.). IMPORTANCIA DE LA GESTIÓN INTEGRAL DEL RIESGO APLICACIÓN AL SECTOR EMPRESARIAL. Retrieved from https://www.incp.org.co/Site/info/archivos/riesgo.pdfspa
dc.relation.referencesSousa, F. D. S. de. (2014). Bilateral Contracting in Liberalized Energy Markets: Contracts for Difference and Risk Management. Retrieved from https://fenix.tecnico.ulisboa.pt/downloadFile/844820067124277/resumo.pdfspa
dc.relation.referencesSousa, F., Lopes, F., & Santana, J. (2015a). Contracts for Difference and Risk Management in Multi-agent Energy Markets (pp. 155–164). Springer, Cham. https://doi.org/10.1007/978-3-319-18944-4_13spa
dc.relation.referencesSousa, F., Lopes, F., & Santana, J. (2015b). Multi-agent Electricity Markets: A Case Study on Contracts for Difference. In 2015 26th International Workshop on Database and Expert Systems Applications (DEXA) (pp. 86–90). IEEE. https://doi.org/10.1109/DEXA.2015.35spa
dc.relation.referencesUniversitat Pompeu Fabra - Barcelona. (n.d.). Conceptos Fundamentales. Retrieved July 16, 2018, from http://www.dtic.upf.edu/~gvirtual/master/rv/seccio2/seccio2.htmspa
dc.relation.referencesWeber, C. (2005). Uncertainty in the electric power industry : methods and models for decision support. Springer.spa
dc.relation.referencesYang, I., Callaway, D. S., & Tomlin, C. J. (2014). Direct load control for electricity market risk management via risk-limiting dynamic contracts. In 2014 52nd Annual Allerton Conference on Communication, Control, and Computing (Allerton) (pp. 1058–1063). IEEE. https://doi.org/10.1109/ALLERTON.2014.7028572spa
dc.relation.referencesZhe, L., Ke, L., Kaibi, W., & Xiaoliu, S. (2012). Research on Financial Risk Management for Electric Power Enterprises. Systems Engineering Procedia, 4, 54–60. https://doi.org/10.1016/j.sepro.2011.11.049spa
dc.rights.creativecommonsAttribution-NonCommercial-ShareAlike 4.0 International
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.type.localTesis de Maestría
dc.type.driverinfo:eu-repo/semantics/masterThesis
dc.description.degreenameMagíster en Ingeniería de Software
dc.description.degreelevelMaestría
dc.publisher.grantorUniversidad de Medellín


Ficheros en el ítem

Thumbnail

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem

Attribution-NonCommercial-ShareAlike 4.0 International
Excepto si se señala otra cosa, la licencia del ítem se describe como Attribution-NonCommercial-ShareAlike 4.0 International