Trading and Hedging a Retail Electricity Portfolio (pdf)
Trading and Hedging a Retail Electricity Portfolio
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Trading and Hedging a Retail Electricity Portfolio
HPFC construction, annual and granular futures hedging, Day-Ahead procurement, imbalance settlement, and risk comparison for a retail electricity portfolio.
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- 0 Rating
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- 1 Students Enrolled
Courselet Content
1 components
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2.57 M |
Requirements
- Basic knowledge of electricity markets, futures contracts, and quantitative risk management.
General Overview
Description
This presentation compares unhedged procurement with annual and granular Base and Peak futures hedges for a retail electricity portfolio. It presents hourly price forward curve construction, forecast-load hedge optimization, Day-Ahead residual procurement, imbalance settlement, and cost and risk comparisons using the 2024 case. The results cover annual cost, monthly price stability, daily tail risk, and the December price event.
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Meet the instructors !
About the Instructor
David Siang-Li Jheng is a PhD candidate at the Doctoral School of Cybernetics and Economic Statistics, Bucharest University of Economic Studies, Romania. His research focuses on detecting anomalies and modeling dependence structures in high-dimensional, high-frequency financial data.
With a background in financial engineering and mathematics from National Yang Ming Chiao Tung University (NYCU) and National Taiwan Normal University (NTNU), he investigates systemic risks through advanced methodologies such as Financial Risk Meters and anomaly detection models.