• DocumentCode
    1984808
  • Title

    Risk management for generation asset portfolios

  • Author

    Singh, Harry

  • Volume
    1
  • fYear
    2001
  • fDate
    15-19 July 2001
  • Abstract
    Summary form only given. Managing a generation asset portfolio essentially involves procuring fuel and selling power. It is therefore convenient to consider generation assets as spread options that can be analyzed using standard techniques from financial markets. In this paper, the authors discuss some of these techniques as they apply to managing the risk associated with generation asset portfolios. This typically involves the use of "delta-hedging" to conform to value at risk (VAR) limits. They also discuss the potential shortcomings and challenges that associated with the application of these techniques in power markets.
  • Keywords
    electricity supply industry; power generation economics; risk management; value engineering; delta-hedging; fuel procurement; generation asset portfolios; generation assets; power markets; power selling; risk management; value at risk limits; Asset management; Costs; Energy management; Fuels; Portfolios; Power generation; Power markets; Reactive power; Risk management;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Power Engineering Society Summer Meeting, 2001
  • Conference_Location
    Vancouver, BC, Canada
  • Print_ISBN
    0-7803-7173-9
  • Type

    conf

  • DOI
    10.1109/PESS.2001.970120
  • Filename
    970120