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Supplier risk analysis in the day-ahead electricity market

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4 Author(s)
Caruso, E. ; Dipt. di Elettrotecnica ed Elettronica, Bari Univ., Italy ; Dicorato, M. ; Minoia, A. ; Trovato, M.

In the deregulated marketplace, generation companies sell energy through auctions or bilateral contracts in a daily market. The daily-price volatility creates the need to perform risk assessment. A procedure able to detect the profitability and risk of bidding in a day-ahead energy market is proposed for power producers. In a pool/bilateral market structure, generation companies are assumed to submit supply bids for the auction in the market pool and report the power amount involved in bilateral contracts to the market operator. The market-clearing process is simulated by solving an OPF-based problem that maximises the social welfare. Then, the expected profits are evaluated by running a Monte Carlo simulation, and the value at risk and conditional value at risk are calculated for quantifying risk of the producer portfolio. The proposed procedure 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 to analyse the profit and the risk faced by one of the generating companies of the Italian electric-power system.

Published in:

Generation, Transmission and Distribution, IEE Proceedings-  (Volume:153 ,  Issue: 3 )