NDLI: Hedging against uncertainties for wind power producer with block futures contracts

Content Provider	IEEE Xplore Digital Library
Author	Yunpeng Xiao Xifan Wang Chao Du Shenquan Liu
Copyright Year	2015
Description	Author affiliation: Sch. of Electr. Eng., Xi'an Jiaotong Univ., Xi'an, China (Yunpeng Xiao; Xifan Wang; Chao Du; Shenquan Liu)
Abstract	Wind power producers face risks on both power generation and market price in electricity markets. This paper proposes the block futures contracts as a financial approach to risk management for wind power trading, where futures contracts are signed with different hedge ratios for different power blocks. The independent transaction on futures contracts for each power block leads to a much better hedging efficiency due to a closer relation between futures price and wind power-faced price, where the wind power-faced price is introduced to consider uncertainties of both power generation and market price simultaneously as the price wind power producers actually face. With a risk-constrained decision framework adopting conditional value-at-risk (CVaR) as the risk measure, optimal contracting strategies for wind power producers with different risk preferences are discussed. A case study verifies the feasibility and efficiency of the proposed method based on real-world data.
Starting Page	1
Ending Page	5
File Size	704991
Page Count	5
File Format	PDF
ISBN	9781467380409
DOI	10.1109/PESGM.2015.7285850
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-07-26
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Face Reactive power Presses Europe Electricity supply industry Real-time systems block trading Electricity market wind power trading risk management electricity futures contract
Content Type	Text
Resource Type	Article

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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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