Gestão estratégica de riscos de um ativo de produção de petróleo: uma abordagem quantitativa

• Ano de defesa: 2011
• Autor(a) principal: Giamattey, Ricardo Henrique Dionisio
• Orientador(a): Barbedo, Cláudio Henrique da Silveira
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Métricas at-risk; Risco; Ativo de produção de petróleo; Simulação de Monte Carlo
• Palavras-chave em Inglês: Risk; Oil production asset; At-risk metrics; Monte Carlo simulation
• Link de acesso: https://hdl.handle.net/10438/8514

This dissertation proposes a quantitative risk management framework for an oil producing asset, focusing on the CFaR and on the likelihood of a less-than-expected return on capital. A simple cashflow model was used, and the operational revenues were forecasted using a operational loss function on the volume side, and for the price forecast it was used a geometric brownian motion without mean reversion and with a time-varying volatility based on a GARCH model. The results show that the proposed framework can provide relevant information to support risk management of oil producing assets since it helps to quantify the importance of different risk factors underlying the operation’s cash flow and therefore its financial results. Lastly, further development in this subject might include a multi-asset operation with a dependence structure among diferent producing systems and with financial, human and equipments constraints.