Price and volume risk management for power producers

This paper presents a methodology for mid-term risk management of a power portfolio, which includes generation assets and energy contracts. Compared to some other approaches arising from financial world, all important technical constraints are considered here. For the purpose of risk assessment, the conditional value at risk is implemented. Two algorithms are developed: first assuming a perfect liquidity´ of a spot market, while the second considers the influence of traded volume on the electricity spot price. This paper concludes with a simple example highlighting the features of the proposed methodology.