Risk management practices in electricity trading, by Geert Jongen (with Anode)
June 8, 2013
This thesis describes the risk management practice of an electricity trader in the Dutch electricity market. The thesis focuses on the imbalance and price risk that an electricity trader is exposed in the daily operation of its business. An analytical solution is derived for which the price and imbalance risk are minimized. Next, a pricing model was developed which was the basis for the investigation of the analytical formulas. Finally, a model was developed to assess the risk management of price risk and imbalance risk of the existing portfolio of customers of Anode. Based on those results recommendations are made for the management of risk of Anode’s portfolio.