NDLI: Managing Price Risk while bidding in a Multimarket Environment

Content Provider	IEEE Xplore Digital Library
Author	Menniti, D. Musmanno, R. Scordino, N. Sorrentino, N. Violi, A.
Copyright Year	2007
Description	Author affiliation: Comput. & Syst. Sci., Calabria Univ., Arcavacata (Menniti, D.; Musmanno, R.; Scordino, N.; Sorrentino, N.)
Abstract	In the deregulated marketplace, generation companies sell energy through auctions in a daily market. The daily-price volatility, together with the bids acceptance process uncertainty, make arise the need of performing risk assessment. A a multi-stage mixed-integer stochastic programming model with linear constraints, able to detect the profitability and risk of bidding in a multi auction energy market, is proposed for power producers. At this purpose, a particularly effective risk measure as the Conditional Value at Risk has been chosen: a discrete formulation has been proposed and evaluated for quantifying the risk of a producer portfolio. The intuitive scenario tree formulation has been adopted to represent the evolution of the random clearing prices and quantities. The Italian zonal pricing has been used as pricing system, to manage network congestions. The proposed model so provides suppliers with an efficient tool able to handle daily market-price uncertainties and to capture, in powerful aggregate risk measures, all relevant portfolio effects of market-risk exposure. Simulations are carried out in a 24-hour time frame on a representative test problem.
Starting Page	1
Ending Page	10
File Size	416704
Page Count	10
File Format	PDF
ISBN	142441296X
ISSN	19325517
DOI	10.1109/PES.2007.385968
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-06-24
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Environmental management Risk management Portfolios Pricing Stochastic processes Linear programming Profitability Particle measurements Power system management Power system modeling Zonal Pricing Electricity market Conditional Value at Risk Multi-stage mixed-integer stochastic programming Value at Risk
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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