کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5066141 1372345 2007 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Quantifying risk in the electricity business: A RAROC-based approach
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
Quantifying risk in the electricity business: A RAROC-based approach
چکیده انگلیسی

The liberalization of electricity markets has forced energy producing companies and traders to calculate costs closer to the profit frontier. Thus, an efficient risk management and risk controlling are needed to ensure the financial survival even during bad times. Using the RAROC methodology we provide a new framework to quantify risks related to wholesale electricity contracts, also called full load contracts. We do not only consider risk of market price fluctuations but also correlation effects between the spot market price and the load curve of a customer. We further conduct an empirical study on whole sale contracts for industry customers and public utility companies of a German energy provider. Our findings support the adequateness of the approach and point out the importance of considering also price-volume correlation effects for electricity whole sale contracts.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 29, Issue 5, September 2007, Pages 1033-1049
نویسندگان
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