Modeling Revenue Risk in Wind Power Projects: A Jump–Diffusion Approach for the Brazilian Electricity Market

This study evaluates long-term revenue uncertainty for wind power projects in the Brazilian electricity market under alternative commercialization strategies. The Short-Term Price (PLD) is modeled through a mean-reverting jump–diffusion process calibrated for the four Brazilian subsystems and simulated over a 20-year horizon. Simulated price scenarios are combined with a representative wind generation profile to estimate revenues under contract-based and spot-market schemes. Results show that contract-based strategies reduce revenue volatility, with standard deviations ranging from R$ 2.7 million to R$ 3.7 million across subsystems, compared to R$ 9 million to R$ 12 million under spot-market exposure. However, contracts also produce lower expected revenues, ranging from R$ 21 million to R$ 23 million, versus R$ 27 million to R$ 32 million in the spot market. The proposed framework supports investment planning and risk management for renewable energy projects in Brazil.