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SUMMARY:Structural model for electricity spot and forward coupled markets
DTSTART:20160503T120000
DTEND:20160503T130000
DTSTAMP:20260407T051132Z
UID:74a36aeb96714e9cdec86b499dba01b51a7fd76dc6d7f2778136119e
CATEGORIES:Conferences - Seminars
DESCRIPTION: Clémence ALASSEUR (EDF – FIME Finance for Energy Market R
 esearch Center)\nA major trend on European electricity markets is integrat
 ion. On November 2010\, market coupling is launched on day-ahead market on
  zone CWE (Central West Europe) which gathers five countries (France\, Ger
 many\, Netherlands\, Belgium and Luxembourg). And lately\, in 2014\, marke
 t coupling has been extended to a much larger zone which represents around
  75% of European demand.\nIn 2013\, during 15 % of time\, spot price was u
 nique on CWE region which means that no congestion occurred at interconnec
 tions and that market price was determined as if the five countries were o
 nly one. In 2014\, market prices were the same in France and Germany aroun
 d 50% of time. As such\, modeling electricity prices on a single country w
 ithout considering market coupling prevents from fitting some key characte
 ristics of the realized price signals.\nPrice models are extensively used 
 for risk management purpose to evaluate portfolio positions\, value and ri
 sk indicators. To produce accurate indicators\, price models must be coher
 ent between the spot and the forward. We propose a new structural model fo
 r electricity spot and forward: the case of coupled markets on two zones w
 ith several fuels. We choose a structural approach in which enables to rep
 resent some key characteristics of spot prices. Our model has the particul
 arity to consider two market zones and the limited interconnection linking
  the two. Explicit formulas are also available for forward prices which en
 able easy computation for both spot and forward prices. We give some illus
 trative results of spot and forward behavior and of transmission rights pr
 icing.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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