Co-Simulation of Risk Factors in Power Markets
18 Pages Posted: 6 Jun 2015
Date Written: June 4, 2015
This article proposes a simple but realistic model to co-simulate the time series of three risk factors: temperature, electricity load, and prices. In addition, the authors provide load serving entities with a quantitative analysis of an electricity price-volume joint risk; illustrate a hedging strategy using weather and electricity price derivatives; and price a tailor-made temperature contingent contract.
Keywords: Co-simulation, temperature, electricity load, electricity prices
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