A medium-term integrated risk management model for a hydrothermal generation company

被引：45

作者：

Cabero, J ^{[1
]}

Baíllo, A ^{[1
]}

Cerisola, S ^{[1
]}

Ventosa, M ^{[1
]}

García-Alcalde, A ^{[1
]}

Perán, F ^{[1
]}

Relaño, G ^{[1
]}

机构：

[1] Univ Pontificia Comillas, Escuela Tecn Super Ingn, Inst Invest Tecnol, Madrid, Spain

来源：

IEEE TRANSACTIONS ON POWER SYSTEMS | 2005年 / 20卷 / 03期

关键词：

conditional value-at-risk; generation operation planning; integrated risk management; risk analysis; stochastic optimization;

D O I：

10.1109/TPWRS.2005.851934

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：

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.

引用

页码：1379 / 1388

页数：10

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