A risk management strategy for a wind power producer based on bilateral contracts

Zechen Wu; Xiuli Wang; Furui Hou; Li Yao; Zece Zhang; Chunbo Huang; Zhu Li

doi:10.1109/DRPT.2015.7432207

A risk management strategy for a wind power producer based on bilateral contracts

Zechen Wu
, Xiuli Wang
, Furui Hou
, Li Yao
, Zece Zhang
, Chunbo Huang
, Zhu Li

School of Electrical Engineering

Xi'an Jiaotong University
State Grid Corporation of China

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Scopus citations

Abstract

The integration of renewable energy is increasing rapidly in electric energy systems throughout the world. This paper presents a bilateral contract model for wind power and provides a risk management strategy for a wind power producer to trade energy in spot market and bilateral contract market. It uses long-term wind speed prediction to determine contract volume, and uses short-term wind speed prediction to determine offers submitted to spot market. Autoregressive moving average model and autoregressive model are used to simulate wind farm output and spot price series. Profit-at-Risk index is used as a risk management metric. Simulation results of a case study show that the purposed trading strategy can obviously reduce financial risk of a wind power producer with the expected profit unchanged.

Original language	English
Title of host publication	Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	82-86
Number of pages	5
ISBN (Electronic)	9781467371063
DOIs	https://doi.org/10.1109/DRPT.2015.7432207
State	Published - 11 Mar 2016
Event	5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015 - Changsha, China Duration: 26 Nov 2015 → 29 Nov 2015

Publication series

Name	Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015

Conference

Conference	5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015
Country/Territory	China
City	Changsha
Period	26/11/15 → 29/11/15

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 7 Affordable and Clean Energy

Keywords

Autoregressive moving average model
Electricity bilateral contract
Profit-at-Risk index
Wind power producer
Wind speed prediction

Access to Document

10.1109/DRPT.2015.7432207

Cite this

Wu, Z., Wang, X., Hou, F., Yao, L., Zhang, Z., Huang, C., & Li, Z. (2016). A risk management strategy for a wind power producer based on bilateral contracts. In Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015 (pp. 82-86). Article 7432207 (Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/DRPT.2015.7432207

Wu, Zechen ; Wang, Xiuli ; Hou, Furui et al. / A risk management strategy for a wind power producer based on bilateral contracts. Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015. Institute of Electrical and Electronics Engineers Inc., 2016. pp. 82-86 (Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015).

@inproceedings{e96f68d7995c420a8a3e2c84e2b0c483,

title = "A risk management strategy for a wind power producer based on bilateral contracts",

abstract = "The integration of renewable energy is increasing rapidly in electric energy systems throughout the world. This paper presents a bilateral contract model for wind power and provides a risk management strategy for a wind power producer to trade energy in spot market and bilateral contract market. It uses long-term wind speed prediction to determine contract volume, and uses short-term wind speed prediction to determine offers submitted to spot market. Autoregressive moving average model and autoregressive model are used to simulate wind farm output and spot price series. Profit-at-Risk index is used as a risk management metric. Simulation results of a case study show that the purposed trading strategy can obviously reduce financial risk of a wind power producer with the expected profit unchanged.",

keywords = "Autoregressive moving average model, Electricity bilateral contract, Profit-at-Risk index, Wind power producer, Wind speed prediction",

author = "Zechen Wu and Xiuli Wang and Furui Hou and Li Yao and Zece Zhang and Chunbo Huang and Zhu Li",

note = "Publisher Copyright: {\textcopyright} 2015 IEEE.; 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015 ; Conference date: 26-11-2015 Through 29-11-2015",

year = "2016",

month = mar,

day = "11",

doi = "10.1109/DRPT.2015.7432207",

language = "英语",

series = "Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

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Wu, Z, Wang, X, Hou, F, Yao, L, Zhang, Z, Huang, C & Li, Z 2016, A risk management strategy for a wind power producer based on bilateral contracts. in Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015., 7432207, Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015, Institute of Electrical and Electronics Engineers Inc., pp. 82-86, 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015, Changsha, China, 26/11/15. https://doi.org/10.1109/DRPT.2015.7432207

A risk management strategy for a wind power producer based on bilateral contracts. / Wu, Zechen; Wang, Xiuli; Hou, Furui et al.
Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015. Institute of Electrical and Electronics Engineers Inc., 2016. p. 82-86 7432207 (Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - A risk management strategy for a wind power producer based on bilateral contracts

AU - Wu, Zechen

AU - Wang, Xiuli

AU - Hou, Furui

AU - Yao, Li

AU - Zhang, Zece

AU - Huang, Chunbo

AU - Li, Zhu

PY - 2016/3/11

Y1 - 2016/3/11

N2 - The integration of renewable energy is increasing rapidly in electric energy systems throughout the world. This paper presents a bilateral contract model for wind power and provides a risk management strategy for a wind power producer to trade energy in spot market and bilateral contract market. It uses long-term wind speed prediction to determine contract volume, and uses short-term wind speed prediction to determine offers submitted to spot market. Autoregressive moving average model and autoregressive model are used to simulate wind farm output and spot price series. Profit-at-Risk index is used as a risk management metric. Simulation results of a case study show that the purposed trading strategy can obviously reduce financial risk of a wind power producer with the expected profit unchanged.

AB - The integration of renewable energy is increasing rapidly in electric energy systems throughout the world. This paper presents a bilateral contract model for wind power and provides a risk management strategy for a wind power producer to trade energy in spot market and bilateral contract market. It uses long-term wind speed prediction to determine contract volume, and uses short-term wind speed prediction to determine offers submitted to spot market. Autoregressive moving average model and autoregressive model are used to simulate wind farm output and spot price series. Profit-at-Risk index is used as a risk management metric. Simulation results of a case study show that the purposed trading strategy can obviously reduce financial risk of a wind power producer with the expected profit unchanged.

KW - Autoregressive moving average model

KW - Electricity bilateral contract

KW - Profit-at-Risk index

KW - Wind power producer

KW - Wind speed prediction

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T3 - Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015

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BT - Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015

Y2 - 26 November 2015 through 29 November 2015

ER -

Wu Z, Wang X, Hou F, Yao L, Zhang Z, Huang C et al. A risk management strategy for a wind power producer based on bilateral contracts. In Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015. Institute of Electrical and Electronics Engineers Inc. 2016. p. 82-86. 7432207. (Proceedings of the 5th IEEE International Conference on Electric Utility Deregulation, Restructuring and Power Technologies, DRPT 2015). doi: 10.1109/DRPT.2015.7432207

A risk management strategy for a wind power producer based on bilateral contracts

Abstract

Publication series

Conference

UN SDGs

Keywords

Access to Document

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