I am very interested in energy finance. Especially in electricity markets and in funding mechanisms for renewable energy generation. Energy firms (and governments interested in the transition to a sustainable energy generation paradigm) face challenges that have proven to be crucial and new approaches alongside quantitative assessment are required in the field.
So far I have worked on new tools to model the price of electricity based on weather, systemic risk scenarios in energy markets and risk propagation across natural gas and electricity markets. My current work in this line focuses on capital structure decisions of oil firms under recent global changing conditions, and on the development of new insurance, credit and derivative products that can facilitate new medium-size investment projects in variable renewable energy generation.
“Risk propagation in electricity markets: measuring the asymmetric transmission of downside and upside risks in energy prices” (with Stephania Mosquera and Montserrat Guillen). Draft available upon request.
“Dynamic capital structure under changing market conditions with heterogeneous indebtedness: An empirical investigation” (with Natalia Restrepo and Diego F. Manotas). Slides IFABS– LA Dec. 2018.
“Volatility spillovers in energy markets” (with Helena Chuliá and M. Dolores Furió). Submitted. Slides ICEFM Draft available upon request. R&R Energy Journal
“Uncovering the nonlinear predictive causality between natural gas and electricity prices” (with Montserrat Guillen and Stephania Mosquera) Energy Economics, 74:904-916, 2018.
“Effect of stopping hydroelectric power generation on electricity prices: An event study approach” (with Stephania Mosquera and Diego F. Manotas) Renewable and Sustainable Energy Reviews, 94:456-457, 2018.
“Financial risk network architecture of energy firms” (with Natalia Restrepo and Diego F. Manotas) Applied Energy, 215(C): 630-642, 2018 .
“Nonlinear empirical pricing in electricity markets using fundamental weather factors”, (with Mosquera S. and Manotas D.) Energy, 139(15): 594-605, 2017. Slides
“Risk Asymmetries in Hydrothermal Power Generation Markets” (with Mosquera S. and Manotas D.) Electric Power Systems Research, 147: 154-164, 2017. Slides ECF-16