Risk assessment of generators bidding in day-ahead market

Dibyendu Das, Bruce F Wollenberg

Research output: Contribution to journalArticlepeer-review

58 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 languageEnglish (US)
Pages (from-to)416-424
Number of pages9
JournalIEEE Transactions on Power Systems
Volume20
Issue number1
DOIs
StatePublished - Feb 1 2005

Keywords

  • Expected revenue
  • Risk profile
  • Value at risk (VaR)

Fingerprint Dive into the research topics of 'Risk assessment of generators bidding in day-ahead market'. Together they form a unique fingerprint.

Cite this