Michael Coulon (Sussex University) - Wind Park Valuation and Risk Management in the German Intraday Power Markets

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Michael Coulon (Sussex University) - Wind Park Valuation and Risk Management in the German Intraday Power Markets

10 janvier @ 14 h 00 min - 15 h 00 min

The rapid growth of renewables in Germany in the last decade has led to various new modeling challenges for many energy firms. Wind park owners and operators in particular require valuation and risk analysis techniques which capture the high volatility and intermittency of wind power generation, the dynamics of intraday prices and their correlation with changes in wind forecast levels. Under typical contract terms, owners of wind parks receive production volume times the spot price minus a premium p, while managers receive revenues dependent on how they nominate the power and rebalance their positions in the day-ahead and intraday markets. Here we discuss managers’ trading and hedging strategies, also usable for determining a fair premium, which can vary significantly across wind parks. This valuation and risk management problem is of significant interest to many market participants, including investors and policy makers looking  to further grow the penetration of renewables.

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Détails

Date :
10 janvier
Heure :
14 h 00 min - 15 h 00 min