Funding entity Unión Fenosa
The main objective of the collaboration is to implement and adapt the methodology and the model MARAPE developed in the thesis dissertation «A model for electricity generation risk analysis» for a power supplier in the Spanish wholesale electricity market as Unión Fenosa.
Risk management requires generators´ portfolio valuation. Traditional techniques are not fully valid, because of the complexity of the physical and financial electricity assets. Monte Carlo techniques appear as an interest approach, although a quantitative analysis of real power systems requires the representation of their numerous peculiarities: hydro operation and real physical plant constraints, demand and other time-changing parameters (needed in order to represent properly peak prices) and especially the oligopolistic nature of most of liberalized power systems.
The proposed solution is based in the adaptation of Production costing models to an oligolistic competition framework.
The methodology allows a supplier as Unión Fenosa to take advantage of its wide power business experience.
MRP-UFG
