Risk assessment of generators bidding in day-ahead market

Dibyendu Das; Bruce F Wollenberg

doi:10.1109/TPWRS.2004.836184

Risk assessment of generators bidding in day-ahead market

Dibyendu Das, Bruce F Wollenberg

Electrical and Computer Engineering

Research output: Contribution to journal › Article › peer-review

62 Scopus citations

Abstract

Competition in power markets exposes companies which participate to physical and financial uncertainties. Generator companies, bidding to supply power in day-ahead markets may face forced outages after bids are accepted by the system operator. When this happens they have to buy power from the real-time hourly spot market and sell to the ISO at the set day-ahead market clearing price. This paper shows simulations of random forced outages for generators and the resulting risk profiles of generators. Value at Risk (VaR) is calculated at 98% confidence level as a measure of financial risk. The risk profiles and the VaR of the generators are changed with changes in bidding functions. The simulations do not consider transmission limits or demand side bidding.

Original language	English (US)
Pages (from-to)	416-424
Number of pages	9
Journal	IEEE Transactions on Power Systems
Volume	20
Issue number	1
DOIs	https://doi.org/10.1109/TPWRS.2004.836184
State	Published - Feb 2005

Keywords

Expected revenue
Risk profile
Value at risk (VaR)

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10.1109/TPWRS.2004.836184

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abstract = "Competition in power markets exposes companies which participate to physical and financial uncertainties. Generator companies, bidding to supply power in day-ahead markets may face forced outages after bids are accepted by the system operator. When this happens they have to buy power from the real-time hourly spot market and sell to the ISO at the set day-ahead market clearing price. This paper shows simulations of random forced outages for generators and the resulting risk profiles of generators. Value at Risk (VaR) is calculated at 98% confidence level as a measure of financial risk. The risk profiles and the VaR of the generators are changed with changes in bidding functions. The simulations do not consider transmission limits or demand side bidding.",

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AB - Competition in power markets exposes companies which participate to physical and financial uncertainties. Generator companies, bidding to supply power in day-ahead markets may face forced outages after bids are accepted by the system operator. When this happens they have to buy power from the real-time hourly spot market and sell to the ISO at the set day-ahead market clearing price. This paper shows simulations of random forced outages for generators and the resulting risk profiles of generators. Value at Risk (VaR) is calculated at 98% confidence level as a measure of financial risk. The risk profiles and the VaR of the generators are changed with changes in bidding functions. The simulations do not consider transmission limits or demand side bidding.

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KW - Risk profile

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Risk assessment of generators bidding in day-ahead market

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