Browsing by Author "Bernales, Alejandro"

Now showing 1 - 3 of 3
  • No Thumbnail Available
    Item
    CVaR constrained planning of renewable generation with consideration of system inertial response, reserve services and demand participation
    (2016) Inzunza, Andres; Moreno, Rodrigo; Bernales, Alejandro; Rudnick, Hugh
    Integration of renewable generation can lead, to both diversification of energy sources (which can improve the overall economic performance of the power sector) and cost increase due to the need for further resources to provide flexibility and thus secure operation from unpredictable, variable and asynchronous generation. In this context, we propose a cost-risk model that can properly plan generation and determine efficient technology portfolios through balancing the benefits of energy source diversification and cost of security of supply through the provision of various generation frequency control and demand side services, including preservation of system inertia levels. We do so through a scenario-based cost minimization framework where the conditional value at risk (CVaR), associated with costs under extreme scenarios of fossil fuel prices combined with hydrological inflows, is constrained. The model can tackle problems with large data sets (e.g. 8760 hours and 1000 scenarios) since we use linear programming and propose a Benders-based method adapted to deal with CVaR constraints in the master problem. Through several analyses, including the Chilean main electricity system, we demonstrate the effects of renewables on hedging both fossil fuel and hydrological risks; effects of security of supply on costs, risks and renewable investment; and the importance of demand side services in limiting risk exposure of generation portfolios through-encouraging risk mitigating renewable generation investment. (C) 2016 Elsevier B.V. All rights reserved.
  • No Thumbnail Available
    Item
    Thinly traded securities and risk management
    (2014) Bernales, Alejandro; Beuermann, Diether W.; Cortazar, Gonzalo
    Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement our approach in a fixed-income portfolio within a thin trading environment. However, a similar approach may be also applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios with infrequent trading.
  • Thumbnail Image
    Item
    Trader Competition in Fragmented Markets: Liquidity Supply Versus Picking-Off Risk
    (2023) Bernales, Alejandro; Garrido, Nicolas; Sagade, Satchit; Valenzuela Bravo, Marcela; Westheide, Christian
    By employing a dynamic model with two limit order books, we show that fragmentation is associated with reduced competition among liquidity suppliers and lower picking-off risk of limit orders. Due to these countervailing channels, the impact of fragmentation on liquidity and welfare differs with asset volatility: When volatility is high (low), liquidity and aggregate welfare in a fragmented market are higher (lower) than in a single market. However, fragmentation always shifts welfare away from agents with exogenous trading motives and toward intermediaries. We empirically corroborate our model’s predictions about liquidity. Our model reconciles the mixed results in the empirical literature.