Managing total corporate electricity/energy market risks

Journal Article · Thu Oct 01 04:00:00 EDT 1998 · Electricity Journal

DOI:https://doi.org/10.1016/S1040-6190(98)00083-9· OSTI ID:320845

Henney, A; Keers, G

The banking industry has developed a tool kit of very useful value at risk techniques for hedging risk, but these techniques must be adapted to the special complexities of the electricity market. This paper starts with a short history of the use of value-at-risk (VAR) techniques in banking risk management and then examines the specific and, in many instances, complex risk management challenges faced by electric companies from the behavior of prices in electricity markets and from the character of generation and electric retailing risks. The third section describes the main methods for making VAR calculations along with an analysis of their suitability for analyzing the risks of electricity portfolios and the case for using profit at risk and downside risk as measures of risk. The final section draws the threads together and explains how to look at managing total corporate electricity market risk, which is a big step toward managing total corporate energy market risk.

• OSTI ID: 320845
• Journal Information: Electricity Journal, Journal Name: Electricity Journal Journal Issue: 8 Vol. 11; ISSN ELEJE4; ISSN 1040-6190
• Country of Publication: United States
• Language: English

Related Subjects

29 ENERGY PLANNING, POLICY, AND ECONOMY
ECONOMICS
ELECTRIC POWER INDUSTRY
MARKET
PROGRAM MANAGEMENT
SUPPLY AND DEMAND