CEB

CVA Integrated Governance System with MCP Stochastic Simulator and Risk Analysis 

START

11/2019

END

In progress

OBJECTIVES AND METHODOLOGY

To develop a methodology and tool for CVA simulation and projection in different accounting periods (tariff year, calendar year, month, day and hour) and for different scenarios of systemic conditions, with the calculation of risk metrics and the estimation of events in the Short Term Market (MCP);

To develop a computational tool that automates the calculation and projection of the CVA, with respective operation manuals. This tool will also compare the results of the calculation by the company at the end of the period with those actually considered by Aneel, pointing out the discrepant items for further discussion;

To conduct training in the Projection Methodology and in the use of the Tool which will be developed as a Web system, accessible through an internet browser, integrated with CEB's corporate systems;

To combine scientific research methodologies, project management (PMBOK) and software development (agile methodologies, such as SCRUM).

MAIN RESULTS

FIGURES AND DIAGRAMS

Case developed within the scope of the R&D program, regulated by Aneel.