Minimizing price-risk exposure for deregulated electricity market participants

Stuart Galloway, Keshav Dahal, G.M. Burt, J. McDonald

Research output: Contribution to conferencePaper

Abstract

Market liberalisation has resulted in significant changes not only in the way electricity is traded, but also for the market participants themselves. The bidding behaviour of market participants who are active in a liberalised UK-like market has been modelled. Both operational and technical parameters associated with the market and its participants are accounted for. Explicit characterization of risk (value at risk) is made with respect to market participants and their attitude to trading. Profit maximization strategies for market participants are then developed based on the minimization of price-risk under uncertainty. Results are presented for a selected case study and the effect of alternative strategies is compared The case study concerns several generators who need to determine what proportion of their production they should sell to the market The results show that based on cost and price forecasts there is scope for generators to profitably take advantage of both contractual and within-day market trades.
Original languageEnglish
Number of pages13
Publication statusPublished - Sep 2002
EventConference on Probabilistic Methods Applied to Power Systems (PMAPS 2002) - Naples, Italy
Duration: 1 Sep 2002 → …

Conference

ConferenceConference on Probabilistic Methods Applied to Power Systems (PMAPS 2002)
CountryItaly
CityNaples
Period1/09/02 → …

Fingerprint

Electricity market
Risk exposure
Price risk
Generator
Bidding behavior
Price of risk
Electricity
Value at risk
Profit maximization
Costs
Proportion
Market liberalization
Uncertainty

Keywords

  • eletricity industry
  • risk management
  • decision making
  • minimizing
  • price-risk
  • exposure
  • deregulated electricity market
  • participants

Cite this

Galloway, S., Dahal, K., Burt, G. M., & McDonald, J. (2002). Minimizing price-risk exposure for deregulated electricity market participants. Paper presented at Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2002) , Naples, Italy.
Galloway, Stuart ; Dahal, Keshav ; Burt, G.M. ; McDonald, J. / Minimizing price-risk exposure for deregulated electricity market participants. Paper presented at Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2002) , Naples, Italy.13 p.
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Galloway, S, Dahal, K, Burt, GM & McDonald, J 2002, 'Minimizing price-risk exposure for deregulated electricity market participants' Paper presented at Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2002) , Naples, Italy, 1/09/02, .

Minimizing price-risk exposure for deregulated electricity market participants. / Galloway, Stuart; Dahal, Keshav; Burt, G.M.; McDonald, J.

2002. Paper presented at Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2002) , Naples, Italy.

Research output: Contribution to conferencePaper

TY - CONF

T1 - Minimizing price-risk exposure for deregulated electricity market participants

AU - Galloway, Stuart

AU - Dahal, Keshav

AU - Burt, G.M.

AU - McDonald, J.

PY - 2002/9

Y1 - 2002/9

N2 - Market liberalisation has resulted in significant changes not only in the way electricity is traded, but also for the market participants themselves. The bidding behaviour of market participants who are active in a liberalised UK-like market has been modelled. Both operational and technical parameters associated with the market and its participants are accounted for. Explicit characterization of risk (value at risk) is made with respect to market participants and their attitude to trading. Profit maximization strategies for market participants are then developed based on the minimization of price-risk under uncertainty. Results are presented for a selected case study and the effect of alternative strategies is compared The case study concerns several generators who need to determine what proportion of their production they should sell to the market The results show that based on cost and price forecasts there is scope for generators to profitably take advantage of both contractual and within-day market trades.

AB - Market liberalisation has resulted in significant changes not only in the way electricity is traded, but also for the market participants themselves. The bidding behaviour of market participants who are active in a liberalised UK-like market has been modelled. Both operational and technical parameters associated with the market and its participants are accounted for. Explicit characterization of risk (value at risk) is made with respect to market participants and their attitude to trading. Profit maximization strategies for market participants are then developed based on the minimization of price-risk under uncertainty. Results are presented for a selected case study and the effect of alternative strategies is compared The case study concerns several generators who need to determine what proportion of their production they should sell to the market The results show that based on cost and price forecasts there is scope for generators to profitably take advantage of both contractual and within-day market trades.

KW - eletricity industry

KW - risk management

KW - decision making

KW - minimizing

KW - price-risk

KW - exposure

KW - deregulated electricity market

KW - participants

M3 - Paper

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Galloway S, Dahal K, Burt GM, McDonald J. Minimizing price-risk exposure for deregulated electricity market participants. 2002. Paper presented at Conference on Probabilistic Methods Applied to Power Systems (PMAPS 2002) , Naples, Italy.