University of Twente Student Theses
Simulating Energy Prices and Energy Yield to Generate Probability Distributions
Iturbide Figge, A. (2024) Simulating Energy Prices and Energy Yield to Generate Probability Distributions.
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| Abstract: | One of Company X main activities is to finance renewable energy projects. These projects are evaluated via a cash flow model, which is then used to determine how much money the project can borrow and at what terms (debt structure). This thesis proposes a solution to the following core problem: “The current cash flow model does not incorporate the randomness in electricity prices and energy yield, and its outputs are limited to one basic scenario.” The scope of the research focuses on evaluating debt structures of Spanish solar energy projects via its cashflow available for debt service (CFADS), debt service (DS), and debt coverage ratio (DSCR). The core problem was solved via a Montecarlo simulation which generates possible CFADS, DS, and DSCR based on simulated electricity spot prices and energy yield. Electricity spot prices are simulated with a Jump-Diffusion model calibrated using historical Spanish price data. Energy yield is sampled out of a normal distribution with parameters of the specific Spanish solar energy project being evaluated. Multiple statistics are calculated out of the sample of possible CFADS, DS, and DSCR which allow to evaluate a debt structure over multiple scenarios. |
| Item Type: | Essay (Bachelor) |
| Faculty: | BMS: Behavioural, Management and Social Sciences |
| Subject: | 31 mathematics, 83 economics |
| Programme: | Industrial Engineering and Management BSc (56994) |
| Link to this item: | https://purl.utwente.nl/essays/100615 |
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