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Conference Paper: A survey on risk management in electricity markets

TitleA survey on risk management in electricity markets
Authors
Liu, MWu, FFNi, Y
KeywordsElectricity market
Hedging
Portfolio optimization
Risk management
Issue Date2006
PublisherIEEE.
Citation
IEEE Power Engineering Society General Meeting, Montreal, Canada, 18-22 June 2006 How to Cite?
DOI: http://dx.doi.org/10.1109/PES.2006.1709009
AbstractIn the electricity market, electricity prices are substantially more volatile than any other commodity price. Confronting with this extreme price volatility, more and more market participants are recognizing the importance and necessity of risk management. This paper introduces some risk management techniques which are widely used in the financial literature and their applications in the electricity market. These techniques include hedging, portfolio optimization, risk measurement and asset valuation. Furthermore, this paper also introduces several additional techniques of risk management which are developed to deal with the specialties of electricity, electrical assets and electricity market. Based on the literature survey, some suggestions for future work are offered. © 2006 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/45907
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLiu, Men_HK
dc.contributor.authorWu, FFen_HK
dc.contributor.authorNi, Yen_HK
dc.date.accessioned2007-10-30T06:38:14Z-
dc.date.available2007-10-30T06:38:14Z-
dc.date.issued2006en_HK
dc.identifier.citationIEEE Power Engineering Society General Meeting, Montreal, Canada, 18-22 June 2006en_HK
dc.identifier.urihttp://hdl.handle.net/10722/45907-
dc.description.abstractIn the electricity market, electricity prices are substantially more volatile than any other commodity price. Confronting with this extreme price volatility, more and more market participants are recognizing the importance and necessity of risk management. This paper introduces some risk management techniques which are widely used in the financial literature and their applications in the electricity market. These techniques include hedging, portfolio optimization, risk measurement and asset valuation. Furthermore, this paper also introduces several additional techniques of risk management which are developed to deal with the specialties of electricity, electrical assets and electricity market. Based on the literature survey, some suggestions for future work are offered. © 2006 IEEE.en_HK
dc.format.extent120118 bytes-
dc.format.extent12538 bytes-
dc.format.extent11910 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypetext/plain-
dc.format.mimetypetext/plain-
dc.languageengen_HK
dc.publisherIEEE.en_HK
dc.relation.ispartof2006 IEEE Power Engineering Society General Meeting, PESen_HK
dc.rights©2006 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.-
dc.subjectElectricity marketen_HK
dc.subjectHedgingen_HK
dc.subjectPortfolio optimizationen_HK
dc.subjectRisk managementen_HK
dc.titleA survey on risk management in electricity marketsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.emailNi, Y: yxni@eee.hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.identifier.authorityNi, Y=rp00161en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1109/PES.2006.1709009en_HK
dc.identifier.scopuseid_2-s2.0-35348863171en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-35348863171&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.scopusauthoridLiu, M=36014543100en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK
dc.identifier.scopusauthoridNi, Y=7402910021en_HK

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