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.
Palabras Clave: Conditional value-at-risk, generation operation planning, integrated risk management, risk analysis, stochastic optimization.
Índice de impacto JCR y cuartil WoS: 0.951 (2005); 6.663 - Q1 (2020)
Referencia DOI: 10.1109/TPWRS.2005.851934
Publicado en papel: Agosto 2005.
Publicado on-line: Agosto 2005.
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. [Online: Agosto 2005]