Funding entity Hispaelec (EDF Unité Commerciale Espagne)
Development of an analysis tool that allows an agent as Hispaelec (EDF Unité Commerciale Espagne), whose retailing activity is built around the Spanish power market, to value qualitative and quantitatively the future evolution of electricity prices in the mid-term, i.e. periods around a year or two.
The study aims to cover the two first stages of every complete electricity price risk modeling procedure: identification and analysis. To do so, the main body of the project is organized around the particularized development of the model MARAPE (Power supply risk analysis model).
The model applies the methodology proposed in the Thesis “A model for electricity generation risk analysis”, in which a mixed approach: the main power price risk factors (load, hydro production and fuel prices) are modeled with econometric models (time series, ARIMA and GARCH models) from which future scenarios are generated. This risk factors’ paths are the inputs of a strategic production costing model that provides wholesale power market prices by simulating the units’ operation and the different bidding strategies of their suppliers in an oligopoly.
MARAPE EDF
