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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

IEEE Transactions on Power Systems Vol. 20, nº. 3, pp. 1379 - 1388

Summary:

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.


JCR Impact Factor and WoS quartile: 0,951 (2005); 6,500 - Q1 (2023)

DOI reference: DOI icon https://doi.org/10.1109/TPWRS.2005.851934

Published on paper: August 2005.

Published on-line: August 2005.



Citation:
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, August 2005. [Online: August 2005]


    Research topics:
  • *Short-Term Operation, Market Bidding and Operating Reserves
  • *Medium-Term Tactical Planning

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