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Assessment of Price Risk of Power under Indian Electricity Market

by Sandeep Chawda, S. Deshmukh
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 59 - Number 11
Year of Publication: 2012
Authors: Sandeep Chawda, S. Deshmukh
10.5120/9590-4207

Sandeep Chawda, S. Deshmukh . Assessment of Price Risk of Power under Indian Electricity Market. International Journal of Computer Applications. 59, 11 ( December 2012), 12-17. DOI=10.5120/9590-4207

@article{ 10.5120/9590-4207,
author = { Sandeep Chawda, S. Deshmukh },
title = { Assessment of Price Risk of Power under Indian Electricity Market },
journal = { International Journal of Computer Applications },
issue_date = { December 2012 },
volume = { 59 },
number = { 11 },
month = { December },
year = { 2012 },
issn = { 0975-8887 },
pages = { 12-17 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume59/number11/9590-4207/ },
doi = { 10.5120/9590-4207 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T21:03:54.022410+05:30
%A Sandeep Chawda
%A S. Deshmukh
%T Assessment of Price Risk of Power under Indian Electricity Market
%J International Journal of Computer Applications
%@ 0975-8887
%V 59
%N 11
%P 12-17
%D 2012
%I Foundation of Computer Science (FCS), NY, USA
Abstract

Abstract: In order to promote competition in Indian Electricity Market as per Indian Electricity Act 2003, Power Exchanges are established and running successfully since 2008. Power exchange is an electronic exchange which provides a common place for electricity trading. Price of electricity is more volatile than any other commodity. This volatile nature of electricity-price introduces risk to market participants. Hence assessment and control of risk have become essential tasks for the players in power market. In this paper Value at Risk (VaR) & Conditional Value at Risk (CVaR) methods are used for the assessment of price-risk. The data of Market Clearing Price (MCP) available at Indian Energy Exchange (IEX) are used for the calculation of risk. The results are discussed in detail.

References
  1. Min Liu, Felix F. Wu, Fellow, "A Survey on Risk Management in Electricity Markets" presented in the Proc. IEEE Power Eng. Soc. General Meeting Montreal, QC, Canada, 2006.
  2. R. Dahlgren, C. C. Liu, and J. Lawarree, "Risk assessment in energy trading," IEEE Trans. Power Systems, vol. 18, Issue 2, pp. 503-511, May 2003.
  3. Mario V. F. Pereira, M. F. McCoy, and H. M. Merrill, "Managing risk in the new power business," IEEE Computer Applications in Power, vol. 13, Issue 2, pp. 18-24, April 2000.
  4. J. L. Higle, and S. W. Wallace, "Managing risk in the new power business: a sequel," IEEE Computer Applications in Power, vol. 15, Issue 2, April 2002.
  5. Prabodh Bajpai and S. N. Singh, "Electricity Trading In Competitive Power Market: An Overview And Key Issues", International Conference on Power Systems in Kathmandu, Nepal, pp 571 – 576, Nov. 3-5, 2004.
  6. S. J. Deng And S. S. Oren, "Electricity derivatives and risk management", Energy 31 (2006) 940–953 (www. elsevier. com/locate/energy)
Index Terms

Computer Science
Information Sciences

Keywords

Electricity Market Risk Power Exchange

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