Risk-adequate pricing of retail power contracts

被引：4
作者：
Burger, Markus [1 ]
Muller, Jan [2 ]
机构：
[1] EnBW Trading GmbH, Durlacher Allee 93, D-76131 Karlsruhe, Germany
[2] Univ Siegen, Fachbereich Math, D-57068 Siegen, Germany
来源：
JOURNAL OF ENERGY MARKETS | 2011年 / 4卷 / 04期
关键词：
D O I：
10.21314/JEM.2011.066
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Risk-adequate pricing of retail power contracts is essential for energy suppliers. The price of retail contracts is composed of a basic energy price, the sales margin and a premium due to various risk factors. We analyze the price validity period, credit risk, price-volume correlation, individual volume risk, hourly price profile risk, balancing power costs and operational risk with the corresponding adequate risk premium. The main focus of this paper is the price-volume correlation, where a combined load and price model is used. This model allows quantiles of price-volume risk to be determined for a retail portfolio or an individual customer.
引用
收藏
页码：53 / 75
页数：23
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