Using market simulation to manage price risk in a centrally cleared market

1999 IEEE Power Engineering Society Summer Meeting, PES 1999 - Conference Proceedings

Volumn 2, Issue , 1999, Pages 1261-1263

  Dahlgren, R ^a   Liu, C C ^b   Lawarree, J ^c  

^a AREVA T&D   (France)

^b University of Washington   (United States)

^c UNIVERSITY OF WASHINGTON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; COSTS; FORECASTING; RISK ANALYSIS; RISK ASSESSMENT; VALUE ENGINEERING;

COMPETITIVE MARKETS; ELECTRICAL SYSTEMS; ELECTRICITY PRICES; FINANCIAL EFFECTS; FUNDAMENTAL COMPONENT; MARKET SIMULATION; PHYSICAL CONSTRAINTS; PRICE CHANGES;

RISK MANAGEMENT;

EID: 4344635259     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/PESS.1999.787500     Document Type: Conference Paper

References (9)

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3. Turner, D., "Warning: high volatility," Energy & Power Risk Management, vol. 2, no. 6, October 1997, p. 20-21.
4. Bjorgan, R., Liu, C, Lawarree, J., "Financial Risk Management in a Competitive Electricity Market," accepted for publication in IEEE Transactions on Power Systems.
5. Kollberg, J., Elf, J., "No pain, no gain" (an examination of VAR in Nordic power markets), Energy & Power Risk Management, vol. 3, no. 3, June 1998, p. 22-23.
6. JPMorgan Company, "RiskMetrics - Technical Document", http://www.riskmetrics.com/rm/pubs/ftechdoc.html.
7. Jorion, P., Value at Risk, McGraw-Hill, New York, 1997.
8. Fusaro, P., Energy Risk Management, McGraw-Hill, New York, 1998.
9. PJM Interconection Market Training material, http://www.pjm.com/market system data/training/materials.html.