Quantifying price risk of electricity retailer based on CAPM and RAROC methodology

International Journal of Electrical Power and Energy Systems

Volumn 29, Issue 10, 2007, Pages 803-809

  Karandikar, R G ^a   Khaparde, S A ^a   Kulkarni, S V ^a  

^a INDIAN INSTITUTE OF TECHNOLOGY BOMBAY   (India)

Author keywords

CAPM; Electricity retailer; RAROC

Indexed keywords

COMPETITION; ELECTRIC INDUSTRY; INVESTMENTS; MATHEMATICAL MODELS; REGULATORY COMPLIANCE;

ELECTRICITY RETAILER; GENERATION COMPANIES (GENCO);

ECONOMIC ANALYSIS;

EID: 35748934797     PISSN: 01420615     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijepes.2007.06.007     Document Type: Article

References (15)

1. Stoft S. Power system economics: designing markets for electricity (2002), Wiley Interscience, New York
2. Gabriel S.A., Genc M.F., and Balakrishnan S. A simulation approach to balancing annual risk and reward in retail electrical power markets. IEEE Trans Power Syst 17 4 (2002)
3. Ojanen OJ, Comparative analysis of risk management strategies for electricity retailer. Master's thesis, Helsinki Univ. of Technology, Dept. Engineering and Mathematics, Finland; 2002.
4. Moran A. Expectations for a competitive retail market in Tasmania. Utilicon TasPower conference, April 2002.
5. Kulkarni SV, Khaparde SA, Karandikar RG. Strategic optimal bidding by schedule coordinator for distributed generators in deregulated power system. Power systems 2003: distributed generation and advanced metering, March 12-14, Clemson USA; 2003.
6. Jabr R.A. Robust self-scheduling under price uncertainty. IEEE Trans Power Syst 20 4 (2005)
7. Shebl'e GB, Berleant D. Bounding the composite value at risk for energy service company operation with DEnv, an interval-based algorithm, Department of Electrical and Computer Engineering, Iowa State University, USA.
8. Yusta J.M., Rosado I.J.R., Navarro J.A.D., and Vidal J.M.P. Optimal electricity price calculation model for retailers in a deregulated market. Int J Electr Power Energ Syst 27 (2005) 437-447
9. Hull J.C. Options, futures, and other derivatives (2003), Pearson Education, Singapore
10. Risk assessment and financial management, IEEE Tutorial, 1999.
11. Karandikar RG, Abhyankar AR, Khaparde SA, Nagaraju P. Assessment of Risk involved with bidding strategies of a Genco in a day ahead market, Int J Emerging Electr Power Syst, The Berkeley Electronic Pres 1 (1) (2004) Article 1006.
12. Stoughton NM, Irvine UC, Zechner J. Optimal capital allocation using RAROC and EVAR. Univ. of Vienna, November 2003.
13. Hallerbach WG, Capital Allocation, portfolio enhancement and performance measurement: a unified approach. EURO WGFM 2001, Haarlem NL, Sydney, AUS., November 15, 2001.
14. Prokopczuk M, Rachev S, TrÄuck S. Quantifying risk in the electricity business: a RAROC-based approach, Univ. Karlsruhe Kollegium am Schloss, Karlsruhe, Germany, October 11, 2004.
15. Available online: www.pserc.cornell.edu/matpower.