DocumentCode :
1126642
Title :
A Medium-Term Integrated Risk Management Model for a Hydrothermal Generation Company
Author :
Cabero, Jordi ; Baíllo, Álvaro ; Cerisola, Santiago ; Ventosa, Mariano ; García-Alcalde, Antonio ; Perán, Fernando ; Relaño, Gregorio
Author_Institution :
Escuela Tecnica Superior de Ingenieria, Univ. Pontificia Comillas, Madrid, Spain
Volume :
20
Issue :
3
fYear :
2005
Firstpage :
1379
Lastpage :
1388
Abstract :
This paper presents a methodology to manage the market risk faced by a hydrothermal generation company in the medium-term (one year). This risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The proposed methodology includes three steps: the generation of scenarios for these random parameters, the approximation of these scenarios by a multivariate scenario tree, and the optimization of the company´s operational and financial hedging decisions under a stochastic programming framework. The optimization model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value-at-risk. A realistic numerical example is solved to illustrate the possibilities of our approach.
Keywords :
hydrothermal power systems; power generation economics; risk management; stochastic programming; diversified generation portfolio; electricity prices; financial hedging decision; fuel prices; hydrothermal generation company optimization; market risk; medium-term integrated risk management; power demand; stochastic programming; value-at-risk; water inflows; Associate members; Companies; Fuels; Portfolios; Power demand; Risk analysis; Risk management; Stochastic processes; Uncertainty; Water resources; Conditional value-at-risk; generation operation planning; integrated risk management; risk analysis; stochastic optimization;
fLanguage :
English
Journal_Title :
Power Systems, IEEE Transactions on
Publisher :
ieee
ISSN :
0885-8950
Type :
jour
DOI :
10.1109/TPWRS.2005.851934
Filename :
1490590
Link To Document :
بازگشت