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A medium-term integrated risk management model for a hydrothermal generation company

J. Cabero, Á. Baíllo, S. Cerisola, M. Ventosa, A. García, F. Perán, G. Relaño

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: Conditional value-at-risk, generation operation planning, integrated risk management, risk analysis, stochastic optimization.



IEEE Transactions on Power Systems. Volumen: 20 Número: 3 Páginas: 1379-1388

Publicado en papel: Agosto 2005.



Cita:
J. Cabero, Á. Baíllo, S. Cerisola, M. Ventosa, A. García, F. Perán, G. Relaño. A medium-term integrated risk management model for a hydrothermal generation company. IEEE Transactions on Power Systems. vol. 20, no. 3, pp. 1379-1388, Agosto 2005.


    Líneas de investigación:
  • *Programación de la Operación a Corto Plazo, Elaboración de Ofertas y Análisis de Reservas de Operación
  • *Planificación táctica a medio plazo

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