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Article: Risk assessment of generation investment in spot market considering operation constraints

TitleRisk assessment of generation investment in spot market considering operation constraints
Authors
KeywordsConditional Value At Risk
Monte-Carlo Simulation
Operation Constraints
Real Option
Spot Market
Value At Risk
Issue Date2008
PublisherZhongguo Dianji Gongcheng Xuehui. The Journal's web site is located at http://www.dwjs.com.cn
Citation
Zhongguo Dianji Gongcheng Xuebao/Proceedings Of The Chinese Society Of Electrical Engineering, 2008, v. 28 n. 13, p. 99-105 How to Cite?
AbstractThis paper proposes an improved model for real option evaluation of generation asset and risk assessment in spot market. A modified mean reversion model with long-term periodic mean, which takes its fluctuation, uncertainties and cyclic characteristics into account, is applied for the description of the electricity price process. System operation constraints are added into the optimization model of GENCOs' active power output. Based on the price process and the optimal output model, generation asset can be valuated by spread real option approach. In the interest of controlling the risks of the investment on generation expansion project, value at risk (VaR) and conditional value at risk (CVaR) are used as the risk assessment tools to help the investors making informed investment decision. Numerical simulation experiment on IEEE 30 system is given to show the validity of the proposed method.
Persistent Identifierhttp://hdl.handle.net/10722/155473
ISSN
2015 SCImago Journal Rankings: 0.881
References

 

DC FieldValueLanguage
dc.contributor.authorZhou, Hen_US
dc.contributor.authorHou, YHen_US
dc.contributor.authorWu, YWen_US
dc.contributor.authorSu, JFen_US
dc.contributor.authorXiong, XYen_US
dc.contributor.authorMao, CXen_US
dc.date.accessioned2012-08-08T08:33:40Z-
dc.date.available2012-08-08T08:33:40Z-
dc.date.issued2008en_US
dc.identifier.citationZhongguo Dianji Gongcheng Xuebao/Proceedings Of The Chinese Society Of Electrical Engineering, 2008, v. 28 n. 13, p. 99-105en_US
dc.identifier.issn0258-8013en_US
dc.identifier.urihttp://hdl.handle.net/10722/155473-
dc.description.abstractThis paper proposes an improved model for real option evaluation of generation asset and risk assessment in spot market. A modified mean reversion model with long-term periodic mean, which takes its fluctuation, uncertainties and cyclic characteristics into account, is applied for the description of the electricity price process. System operation constraints are added into the optimization model of GENCOs' active power output. Based on the price process and the optimal output model, generation asset can be valuated by spread real option approach. In the interest of controlling the risks of the investment on generation expansion project, value at risk (VaR) and conditional value at risk (CVaR) are used as the risk assessment tools to help the investors making informed investment decision. Numerical simulation experiment on IEEE 30 system is given to show the validity of the proposed method.en_US
dc.languageengen_US
dc.publisherZhongguo Dianji Gongcheng Xuehui. The Journal's web site is located at http://www.dwjs.com.cnen_US
dc.relation.ispartofZhongguo Dianji Gongcheng Xuebao/Proceedings of the Chinese Society of Electrical Engineeringen_US
dc.subjectConditional Value At Risken_US
dc.subjectMonte-Carlo Simulationen_US
dc.subjectOperation Constraintsen_US
dc.subjectReal Optionen_US
dc.subjectSpot Marketen_US
dc.subjectValue At Risken_US
dc.titleRisk assessment of generation investment in spot market considering operation constraintsen_US
dc.typeArticleen_US
dc.identifier.emailHou, YH:yhhou@eee.hku.hken_US
dc.identifier.authorityHou, YH=rp00069en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-44449119997en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-44449119997&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume28en_US
dc.identifier.issue13en_US
dc.identifier.spage99en_US
dc.identifier.epage105en_US
dc.publisher.placeChinaen_US
dc.identifier.scopusauthoridZhou, H=7404742185en_US
dc.identifier.scopusauthoridHou, YH=7402198555en_US
dc.identifier.scopusauthoridWu, YW=7406898040en_US
dc.identifier.scopusauthoridSu, JF=55177552000en_US
dc.identifier.scopusauthoridXiong, XY=7201634426en_US
dc.identifier.scopusauthoridMao, CX=7201498051en_US

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