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

The main product of the project is the methodology and computational tool for the projection of the CVA of Distributors, considering scenarios of components in conditions of uncertainty and also applied to forecast MCP stochastic events, with respective application and operation manuals;
From an economic point of view, the project is highly relevant to the electricity sector, as the issue in question has significantly affected the cash flow of distribution companies that, in some cases, have difficulty meeting their contractual obligations due to the lack of resources caused by high disbursements with payment of charges and purchase of energy;

In addition, the complexity of calculating the CVA increases each year due to the significant increase in the number of contracts between distributors and generators in energy auctions. This characteristic, together with other factors observed in the electricity sector, such as injunctions obtained by power generators, has made it difficult to calculate CVA by distributors, affecting their ability to predict the need to obtain resources and to forecast the company's results;
From a scientific point of view, the project will provide the publication of scientific articles in congresses and specialized publications in the sector, focusing on a topic that has been little explored in an original way.