EVALUACIoN DE LOS RIESGOS OPERACIONALES EN EMPRESAS DEL SECTOR ELECTRICO APLICANDO LAS DIRECTRICES DEL COMITE DE BASILEA

• Published in: Interciencia Vol. 38; no. 12; p. 828
• Main Authors: Torres, Dionicio Pena, Monroy, Carlos Rodriguez, Solana, Pablo, Garcia-Miguel, Javier Portela
• Format: Journal Article
• Language: English
• Published: 01.12.2013
• ISSN: 0378-1844

The financial crisis has brought up dilemmas regarding the use of time series to forecast financial risks. For this reason, the Basel Committee on Banking Supervision (BCBS) of the Bank for International Settlements (BIS) has proposed a shift towards qualitative or mixed models to detect potential risk events, generally of low frequency and high impact, starting with qualitative data from interviews and expert surveys. As yet, the BIS principles are not often used in companies different from those in the banking sector. This paper applies these directives in order to detect operational risks (OpR) in electric utilities. Another aspect considered in this article is the establishment of indicators derived from energy units, which are not affected by macroeconomic factors in order to display data of the OpR in electric enterprises; consequently enabling financial agents to make more reliable forecasts. The BCBS-BIS has shown that the Poisson and log-normal distributions are those that best represent the frequency and impact of the OpR. This article shows that such distributions are also characteristic in the electric sector and can be implemented for data that have qualitative origins. Just as the Operational Value at Risk (OpVaR) is widely used in the banking sector, it is also shown that energy companies can apply it. Among the different methods to obtaining OpVaR, the Montecarlo's method was adopted in order to convolute severity and frequency distributions, and the distribution of losses for different risks in the electricity sector.