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Conference Paper: Risk assessment of generation investment

TitleRisk assessment of generation investment
Authors
KeywordsGeneration expansion planning
Real option
Mean reversion
Conditional value at risk
Capital budgeting
Issue Date2005
Citation
The 15th Power Systems Computation Conference (PSCC'05), Liege, Belgium, 22-26 August 2005. In Proceedings of 15th PSCC, 2005, p. 1-6 How to Cite?
AbstractThis paper proposes an improved approach to risk assessment of generation investment in the new deregulated environment using the option pricing theory. A more realistic model for electricity price in the application of real option pricing method for generation asset valuation is proposed, which takes into account its fluctuation and uncertainties, and, more importantly, its daily, weekly and annual cyclic patterns, which is a unique characteristic of electricity price. Base on such a price process, the generation asset can be evaluated by the application of real option method. In order to manage the risks of the investment on generation expansion project, risk assessment tools such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) may be used to provide the investors with tools for more informed decisions. A numerical example is given to illustrate the proposed method.
DescriptionSession 15: Paper 2
Persistent Identifierhttp://hdl.handle.net/10722/99354

 

DC FieldValueLanguage
dc.contributor.authorSu, Jen_HK
dc.contributor.authorWu, FFen_HK
dc.date.accessioned2010-09-25T18:26:28Z-
dc.date.available2010-09-25T18:26:28Z-
dc.date.issued2005en_HK
dc.identifier.citationThe 15th Power Systems Computation Conference (PSCC'05), Liege, Belgium, 22-26 August 2005. In Proceedings of 15th PSCC, 2005, p. 1-6-
dc.identifier.urihttp://hdl.handle.net/10722/99354-
dc.descriptionSession 15: Paper 2-
dc.description.abstractThis paper proposes an improved approach to risk assessment of generation investment in the new deregulated environment using the option pricing theory. A more realistic model for electricity price in the application of real option pricing method for generation asset valuation is proposed, which takes into account its fluctuation and uncertainties, and, more importantly, its daily, weekly and annual cyclic patterns, which is a unique characteristic of electricity price. Base on such a price process, the generation asset can be evaluated by the application of real option method. In order to manage the risks of the investment on generation expansion project, risk assessment tools such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) may be used to provide the investors with tools for more informed decisions. A numerical example is given to illustrate the proposed method.-
dc.languageengen_HK
dc.relation.ispartofProceedings of the 15th Power Systems Computation Conference, PSCC'05en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectGeneration expansion planning-
dc.subjectReal option-
dc.subjectMean reversion-
dc.subjectConditional value at risk-
dc.subjectCapital budgeting-
dc.titleRisk assessment of generation investmenten_HK
dc.typeConference_Paperen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.emailSu, J: jfsu@eee.hku.hk-
dc.identifier.authorityWu, FF=rp00194en_HK
dc.description.naturepostprint-
dc.identifier.hkuros119195en_HK
dc.identifier.spage1-
dc.identifier.epage6-
dc.description.otherThe 15th Power Systems Computation Conference (PSCC'05), Liege, Belgium, 22-26 August 2005. In Proceedings of 15th PSCC, 2005, p. 1-6-

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