Quantifying price risk of electricity retailer based on CAPM and RAROC methodology

被引：31

作者：

Karandikar, R. G. ^{[1
]}

Khaparde, S. A. ^{[1
]}

Kulkarni, S. V. ^{[1
]}

机构：

[1] Indian Inst Technol, Dept Elect Engn, Bombay 400076, Maharashtra, India

来源：

INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS | 2007年 / 29卷 / 10期

关键词：

CAPM; RAROC; electricity retrailer;

D O I：

10.1016/j.ijepes.2007.06.007

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

In restructured electricity markets, electricity retailers set up contracts with generation companies (GENCOs) and with end users to meet their load requirements at agreed upon tariff. The retailers invest consumer payments as capital in the volatile competitive market. In this paper, a model for quantifying price risk of electricity retailer is proposed. An IEEE 30 Bus test system is used to demonstrate the model. The Capital Asset Pricing Model (CAPM) is demonstrated to determine the retail electricity price for the end users. The factor Risk Adjusted Recovery on Capital (RAROC) is used to quantify the price risk involved. The methodology proposed in this paper can be used by retailer while submitting proposal for electricity tariff to the regulatory authority. (c) 2007 Elsevier Ltd. All rights reserved.

引用

页码：803 / 809

页数：7

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