Ebook: Uncertainty in the Electric Power Industry: Methods and Models for Decision Support
Author: Christoph Weber (auth.)
- Tags: Energy Economics, Engineering Economics Organization Logistics Marketing, Appl.Mathematics/Computational Methods of Engineering, Probability Theory and Stochastic Processes, Operations Research/Decision Theory, Electrical Power Genera
- Series: International Series in Operations Research & Management Science 77
- Year: 2005
- Publisher: Springer-Verlag New York
- Edition: 1
- Language: English
- pdf
Around the world, liberalization and privatization in the electricity industry have lead to increased competition among utilities. At the same time, utilities are now exposed more than ever to risk and uncertainties, which they cannot pass on to their customers through price increases as in a regulated environment. Especially electricity-generating companies have to face volatile wholesale prices, fuel price uncertainty, limited long-term hedging possibilities and huge, to a large extent, sunk investments.
In this context, Uncertainty in the Electric Power Industry: Methods and Models for Decision Support aims at an integrative view on the decision problems that power companies have to tackle. It systematically examines the uncertainties power companies are facing and develops models to describe them – including an innovative approach combining fundamental and finance models for price modeling. The optimization of generation and trading portfolios under uncertainty is discussed with particular focus on CHP and is linked to risk management. Here the concept of integral earnings at risk is developed to provide a theoretically sound combination of value at risk and profit at risk approaches, adapted to real market structures and market liquidity. Also methods for supporting long-term investment decisions are presented: technology assessment based on experience curves and operation simulation for fuel cells and a real options approach with endogenous electricity prices.
Around the world, liberalization and privatization in the electricity industry have lead to increased competition among utilities. At the same time, utilities are now exposed more than ever to risk and uncertainties, which they cannot pass on to their customers through price increases as in a regulated environment. Especially electricity-generating companies have to face volatile wholesale prices, fuel price uncertainty, limited long-term hedging possibilities and huge, to a large extent, sunk investments.
In this context, Uncertainty in the Electric Power Industry: Methods and Models for Decision Support aims at an integrative view on the decision problems that power companies have to tackle. It systematically examines the uncertainties power companies are facing and develops models to describe them – including an innovative approach combining fundamental and finance models for price modeling. The optimization of generation and trading portfolios under uncertainty is discussed with particular focus on CHP and is linked to risk management. Here the concept of integral earnings at risk is developed to provide a theoretically sound combination of value at risk and profit at risk approaches, adapted to real market structures and market liquidity. Also methods for supporting long-term investment decisions are presented: technology assessment based on experience curves and operation simulation for fuel cells and a real options approach with endogenous electricity prices.
Around the world, liberalization and privatization in the electricity industry have lead to increased competition among utilities. At the same time, utilities are now exposed more than ever to risk and uncertainties, which they cannot pass on to their customers through price increases as in a regulated environment. Especially electricity-generating companies have to face volatile wholesale prices, fuel price uncertainty, limited long-term hedging possibilities and huge, to a large extent, sunk investments.
In this context, Uncertainty in the Electric Power Industry: Methods and Models for Decision Support aims at an integrative view on the decision problems that power companies have to tackle. It systematically examines the uncertainties power companies are facing and develops models to describe them – including an innovative approach combining fundamental and finance models for price modeling. The optimization of generation and trading portfolios under uncertainty is discussed with particular focus on CHP and is linked to risk management. Here the concept of integral earnings at risk is developed to provide a theoretically sound combination of value at risk and profit at risk approaches, adapted to real market structures and market liquidity. Also methods for supporting long-term investment decisions are presented: technology assessment based on experience curves and operation simulation for fuel cells and a real options approach with endogenous electricity prices.
Content:
Front Matter....Pages i-xxiii
Introduction....Pages 1-2
Deregulation and Markets in the Electricity Industry....Pages 3-10
Decision Making and Uncertainties in the Electricity Industry....Pages 11-29
Modelling Electricity Prices....Pages 31-78
Modeling Competition in the Electricity Industry....Pages 79-96
Optimizing Generation and Trading Portfolios....Pages 97-147
Risk Management and Risk Controlling....Pages 149-194
Technology Assessment....Pages 195-228
Investment Decisions....Pages 229-270
Final Remarks....Pages 271-274
Back Matter....Pages 275-294
Around the world, liberalization and privatization in the electricity industry have lead to increased competition among utilities. At the same time, utilities are now exposed more than ever to risk and uncertainties, which they cannot pass on to their customers through price increases as in a regulated environment. Especially electricity-generating companies have to face volatile wholesale prices, fuel price uncertainty, limited long-term hedging possibilities and huge, to a large extent, sunk investments.
In this context, Uncertainty in the Electric Power Industry: Methods and Models for Decision Support aims at an integrative view on the decision problems that power companies have to tackle. It systematically examines the uncertainties power companies are facing and develops models to describe them – including an innovative approach combining fundamental and finance models for price modeling. The optimization of generation and trading portfolios under uncertainty is discussed with particular focus on CHP and is linked to risk management. Here the concept of integral earnings at risk is developed to provide a theoretically sound combination of value at risk and profit at risk approaches, adapted to real market structures and market liquidity. Also methods for supporting long-term investment decisions are presented: technology assessment based on experience curves and operation simulation for fuel cells and a real options approach with endogenous electricity prices.
Content:
Front Matter....Pages i-xxiii
Introduction....Pages 1-2
Deregulation and Markets in the Electricity Industry....Pages 3-10
Decision Making and Uncertainties in the Electricity Industry....Pages 11-29
Modelling Electricity Prices....Pages 31-78
Modeling Competition in the Electricity Industry....Pages 79-96
Optimizing Generation and Trading Portfolios....Pages 97-147
Risk Management and Risk Controlling....Pages 149-194
Technology Assessment....Pages 195-228
Investment Decisions....Pages 229-270
Final Remarks....Pages 271-274
Back Matter....Pages 275-294
....