Power Generation
Thermal, Pumped-Storage and Hydro power generation assets can be modeled.
Multiple Uses for Asset and Risk Managers
- Asset Optimization, determine optimal dispatch strategies or contractual commitments with the lowest Cash Flow at Risk.
- Asset Risk Management, mark your asset to markets, evaluate its Cash Flow at Risk and hedge it by locking forward commitments on fuel and electricity.
- Asset Valuation and Business Development, evaluate the Net Present Value, Net Residual Value and Net Cash Flow at Risk, as well as the RAROC or risk adjusted rate of return on capital.
CashFlow At Risk
Portfolio Approach in Dispatch and Contracts Management
Assets can be organized as dynamic portfolios with contracts or positions across time:
- Input fuel or water.
- Output or dispatch energy and ancillaries across multiple hubs or nodes.
- Output pollutants when applicable.
- Capital Expense schedules can be allocated to any asset.
- Operational Constraints can be modeled for each asset type.
Modeling Fuel and Electricity Dispatch Commitments
- You can attach buy and sell contracts to any fuel and dispatch commitments to any electricity pricing points via spot, energy, forwards (next period, hour, day, next week/month, etc), swaps, volumetric and ancillary options.
- You can attach different dispatch commitments to different Intra-hourly or day Blocks. For example, sell standby ancillary contracts on Off Peak, active contracts on On Peak, and spot or energy contracts on Super Peak periods.
General Features
- The System has an integrated built-in data management and deal or contract capture environment, including volumetric and ancillary options.
- Electricity, fuel and pollutant pricing points at various hubs are user defined. You provide your own name and data for them. Water in Hydro assets is treated as a commodity.
- Prices and volume data can be at the market tick, ¼, ½ or hourly time granularity.
- Prices, load, water volume and forced shut downs are modeled stochastically.
- Multiple currency and interest rate curves are allowed.
- You can define as many daily profiles as you wish. These could be On, Off, Super peak, etc. All dispatch contracts are then written on these profiles. This allows to properly capture intra-day volatility. You can go down to the hourly time scale.
Modeling Plant's Operation
- Multiple electricity pricing points / nodes are allowed for dispatch or sales.
- Modeling of operational and transportation costs, mixed-fuel consumptions, incentives, rewards and penalties, pollutant emissions.
- Operational, maintenance, forced shut down, minimum and maximum run constraints.
- Stochastic modeling of all sources of uncertainties, price, load, water volume and forced outages.
Optimal Dispatch Decision Making
- Generation Plants are modeled as portfolios of options across intra-hourly / day profiles. For thermal or pumped storage plants these are spark-spread options; for Hydro plants these are water to electricity conversion options subject to barriers on electricity prices.
- Option pricing takes place with full cash flow valuation, taking into account operational, regulatory and fuel costs. Plants are operated when in the money, and shut down when out of the money, all subject to operational constraints, heat and/or conversion rate curves. All buy/sale commitments attached to given plants are fulfilled or mitigated in the course of valuation depending whether the plants operates or not.
Multiple Assets Valuation
- Intrinsic cash flow or value of the plant's contractual commitments to produce electricity, using the fuel (case of thermal) or water required (case of hydro) for its generation based on the heat or conversion rate curve.
- Extrinsic the optionality value of your plant as a portfolio of options (spark-spread in the thermal case, and barrier level production for hydro) for the uncommitted or left over capacity of your plant, beyond the above commitments.
- Optimal the sum of the above two.
Ancillary Option Pricing
Risk Metrics
A comprehensive set of operational and financial indicators are evaluated via Monte Carlo simulations:
- Revenue at Risk.
- P&L at Risk.
- Operations at Risk (shut downs).
- Cash Flow / Earnings at Risk.
- Portfolio Risk Adjusted Rate of Return.
- Value at Risk.
- Net Present and Residual Value at Risk.
- Net Income at Risk.
