Financial risk management in restructured wholesale power markets: Concepts and tools

Abstract

Abstract-The goal of this tutorial is three-fold: to facilitate cross-disciplinary communication among power engineers and economists by explaining and illustrating basic financial risk management concepts relevant for wholesale power markets (WPMs); to illustrate the complicated and risky strategic decision making required of power traders and risk managers operating in multiple interrelated submarkets comprising modern WPMs; and to briefly discuss the potential of agent-based modeling for the study of this decision making.

Optimal energy management of community microgrids: A risk-based multi-criteria approach

“…Moreover, the conditional value at risk index ( CVAR ) is formulated in Equation as the expected value of the profit less than the (1 − α )‐quantile of the profit distribution—for 0 ≤ α ≤ 1. In fact, the CVaR index is also called the average value at risk or mean excess loss because CVaR ( α , x ) is calculated as the expected profit in the (1 − α ) percent of the worst scenarios, if all scenarios possess the same likelihood . Herein, γ is an auxiliary variable and SC s is a continuous positive variable which equals to .…”

Complex system modeling and platform implementation for financial risk management in energy markets

“…According to complexity, a system is a combination of different logical or even physical entities that interact with each other to establish a specific purpose, namely to reach a target from the relationship between them. The systems can be dynamic, and it means that behavior changes over time or the systems can be stable, where the conditions, generally do not change and remains in equilibrium [8] [25].…”