NDLI: Managing risk under a fixed price load following obligation for electricity service

Content Provider	IEEE Xplore Digital Library
Author	Oren, S.S. Oum, Y.
Copyright Year	2010
Description	Author affiliation: Pacific Gas and Electric Company, San Francisco, CA 94105, USA (Oum, Y.) \|\| Department of Industrial Engineering and Operations Research, University of California at Berkeley, 94720, USA (Oren, S.S.)
Abstract	Load serving entities (LSE) and holders of default service obligations, in restructured electricity markets, provide electricity service at regulated or contracted fixed prices while facing wholesale procurement cost or opportunity cost at volatile spot prices. We address the hedging problem of such aentities which face joint price and quantity risk. Exploiting the correlation between consumption quantities and spot prices, we develope optimal, self financed hedging strategies under various assumptions regarding the uncertainty in wholesale price and consumption volume and under different models of risk aversion and hedging objectives. We then show how such strategies can be implemented using standard forward contracts and commodity derivatives.
Starting Page	1
Ending Page	4
File Size	376072
Page Count	4
File Format	PDF
ISBN	9781424465491
ISSN	19449925
e-ISBN	9781424465514
e-ISBN	9781424483570
DOI	10.1109/PES.2010.5589689
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-07-25
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Electricity Portfolios Contracts Electricity supply industry Instruments Correlation Meteorology Volumetric hedging Electricity Markets Risk Management
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
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
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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