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On Value of Flexibility in Energy Risk Management. Concepts, Models, Solutions

In: Operations Research Proceedings 2006

Author

Listed:
  • Jörg Doege

    (McKinsey and Company, Inc.)

  • Max Fehr

    (ETH Zurich)

  • Juri Hinz

    (ETH Zurich)

  • Hans-Jakob Lüthi

    (ETH Zurich)

  • Martina Wilhelm

    (ETH Zurich)

Abstract

Since 90s power markets are being restructured worldwide and nowadays electrical energy is traded as a commodity. Therewith the question how to manage and hedge the financial risks resulting from uncertain electrical power and fuel prices is essential for market participants. There exists a rich literature on risk management in energy markets. Some noteworthy references can be downloaded from our web resources [1] and are reviewed in the cited literature. Let us first investigate the market structure and then discuss two different pricing schemes for risk management in power industries.

Suggested Citation

  • Jörg Doege & Max Fehr & Juri Hinz & Hans-Jakob Lüthi & Martina Wilhelm, 2007. "On Value of Flexibility in Energy Risk Management. Concepts, Models, Solutions," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 97-108, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_15
    DOI: 10.1007/978-3-540-69995-8_15
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