Optimal bidding strategy of coordinated wind power and gas turbine units in real-time market using conditional value at risk

2018 ◽  
Vol 29 (1) ◽  
pp. e2645 ◽  
Author(s):  
Mohammad Rayati ◽  
Hamed Goodarzi ◽  
AliMohammad Ranjbar
Keyword(s):  
At Risk ◽  
Real Time ◽  
Gas Turbine ◽  
Wind Power ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Bidding Strategy ◽  
Optimal Bidding

USING EXTREME VALUE THEORY TO EVALUATE CONDITIONAL VAR FOR RISK MANAGEMENT IN ELECTRICITY MARKETS

2016 ◽  
Vol 78 (10) ◽  
Author(s):  
M. T. Askari ◽  
Z. Afzalipor ◽  
A. Amoozadeh
Keyword(s):  
At Risk ◽  
Electricity Markets ◽  
Extreme Value Theory ◽  
Value At Risk ◽  
Risk Model ◽  
Test System ◽  
Value Theory ◽  
Extreme Value ◽  
Conditional Value At Risk ◽  
Bidding Strategy

In a deregulated power market, generation companies attempt to maximize their profits and minimize their risks. This paper proposes a risk model for bidding strategy of generation companies based on EVT-CVaR method. Extreme Value Theory can overcome shortcomings of traditional methods in computing financial risk based on value-at-risk and conditional value-at-risk method. Also, generalized Pareto distribution is suggested to model tail of an unknown distribution and parameters of the GPD are estimated by likelihood moment method. Numerical results for risk assessment using the proposed approach are presented for IEEE 30-bus test system. According to the findings, this method can be used as a robust technique to calculate the risk for bidding strategy of generation companies.

The Optimal Bidding Strategy Based on Multistage Risk for Wind Power Supplier

2013 ◽  
Vol 805-806 ◽  
pp. 327-333
Author(s):  
Tao Ye ◽  
Xie Lei ◽  
Yi Yang
Keyword(s):  
Wind Power ◽  
Value At Risk ◽  
Economic Benefit ◽  
Market Price ◽  
Estimation Method ◽  
Conditional Value At Risk ◽  
Bidding Strategy ◽  
Individual Risk ◽  
Calculation Results ◽  
The Impact

In order to improve the ability of grid-connected wind power supplier to predict and manage risk, and analyze the economic benefit of wind power supplier, a model of bidding strategy for grid-connected wind power supplier is established based on the risk measurements indicator of the Conditional Value-at-Risk (CVaR). The model considering the trade-off problem between risks and benefits comprehensively which includes three risk factors as: fluctuated market price, uncertain load demand and random wind power output. By using the kernel density estimation method (KDE) on output forecast, this optimal model obtains bidding strategy and economic benefit of grid-connected wind power supplier under the impact of multistage risk in different risk preferences and compares the results with the impact of individual risk fluctuation.The calculation results show the validity of the proposed method.

Worst-case conditional value-at-risk based bidding strategy for wind-hydro hybrid systems under probability distribution uncertainties

2019 ◽  
Vol 256 ◽  
pp. 113918 ◽  
Author(s):  
Yangyang Liu ◽  
Zhongqi Shen ◽  
Xiaowei Tang ◽  
Hongbo Lian ◽  
Jiarui Li ◽  
...  
Keyword(s):  
At Risk ◽  
Probability Distribution ◽  
Hybrid Systems ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Bidding Strategy ◽  
Worst Case

A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents

2014 ◽  
Vol 16 (6) ◽  
pp. 3-29 ◽  
Author(s):  
Samuel Drapeau ◽  
Michael Kupper ◽  
Antonis Papapantoleon
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Certainty Equivalents
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