Investment risk analysis for eolic power plants in the free contracting environment

Abstract

This research work presents a methodology for investment risk analysis for eolic power plants. A stochastic modelling was developed for the variables Wind Speed and Price Settlement of Differences (PSD), with the aim of analyzing cash flow during a power plant's lifespan. Simulated scenarios have been created with the Monte Carlo Method to analyze the random variables involved in the process. The investment analysis is based on the assessment of the probability distribution of the Net Present Value (NPV) and of the Modified Internal Rate of Return (MIRR) for the power plant's cash flow, as well as the Value at Risk (VaR) and the Conditional Value at Risk (CVaR). This research work presents a case study to verify the applicability of this methodology.