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A medium-term integrated risk management model for a hydrothermal generation company
dc.contributor.author | Cabero Borrós, Jordi | es-ES |
dc.contributor.author | Baillo Moreno, Alvaro | es-ES |
dc.contributor.author | Cerisola Lopez De Haro, Santiago | es-ES |
dc.contributor.author | Ventosa Rodríguez, Mariano | es-ES |
dc.contributor.author | García Alcalde, Antonio | es-ES |
dc.contributor.author | Perán Montero, Fernando Luis | es-ES |
dc.contributor.author | Relaño Cobián, Gregorio | es-ES |
dc.date.accessioned | 2016-01-15T11:19:44Z | |
dc.date.available | 2016-01-15T11:19:44Z | |
dc.date.issued | 2005-08-01 | es_ES |
dc.identifier.issn | 0885-8950 | es_ES |
dc.identifier.uri | https:doi.org10.1109TPWRS.2005.851934 | es_ES |
dc.description | Artículos en revistas | es_ES |
dc.description.abstract | es-ES | |
dc.description.abstract | This paper presents a methodology to manage the market risk faced by a hydrothermal generation company in the medium-term (one year). This risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The proposed methodology includes three steps: the generation of scenarios for these random parameters, the approximation of these scenarios by a multivariate scenario tree, and the optimization of the company’s operational and financial hedging decisions under a stochastic programming framework. The optimization model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value-at-risk. A realistic numerical example is solved to illustrate the possibilities of our approach. | en-GB |
dc.format.mimetype | application/pdf | es_ES |
dc.language.iso | en-GB | es_ES |
dc.rights | es_ES | |
dc.rights.uri | es_ES | |
dc.source | Revista: IEEE Transactions on Power Systems, Periodo: 1, Volumen: online, Número: 3, Página inicial: 1379, Página final: 1388 | es_ES |
dc.subject.other | Instituto de Investigación Tecnológica (IIT) | es_ES |
dc.title | A medium-term integrated risk management model for a hydrothermal generation company | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | es_ES |
dc.keywords | es-ES | |
dc.keywords | Conditional value-at-risk, generation operation planning, integrated risk management, risk analysis, stochastic optimization. | en-GB |
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