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Short-term Risk Management for Electricity Retailers Under Rising Shares of Decentralized Solar Generation

Russo, Marianna; Kraft, Emil ORCID iD icon; Bertsch, Valentin; Keles, Dogan


Electricity retailers face increasing uncertainty due to the ongoing expansion of unpredictable, distributed generation in the residential sector. We analyze how increasing levels of households' solar PV self-generation affect the short-term decisionmaking and associated risk exposure of electricity retailers in day-ahead and intraday markets. First, we develop a stochastic model accounting for correlations between solar load, residual load and price in sequentially nested wholesale spot markets across seasons and type of day. Second, we develop a computationally tractable twostage stochastic mixed-integer optimization model to investigate the trading portfolio and risk optimization problem faced by retailers. Through conditional value-at-risk we assess retailers' profitability and risk exposure to different levels of PV self-generation by assuming different retail tariff schemes. We find risk-hedging trading strategies and tariffs to have greater impact in Summer and with low levels of residual load in the system, i.e. when the solar generation uncertainty affect more the households demand to be served and the wholesale spot prices. ... mehr

Volltext §
DOI: 10.5445/IR/1000134345
Veröffentlicht am 24.06.2021
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Industriebetriebslehre und Industrielle Produktion (IIP)
Publikationstyp Forschungsbericht/Preprint
Publikationsmonat/-jahr 06.2021
Sprache Englisch
Identifikator ISSN: 2196-7296
KITopen-ID: 1000134345
Verlag Karlsruher Institut für Technologie (KIT)
Umfang 100 S.
Serie Working Paper Series in Production and Energy ; 57
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