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Financially inspired methodologies for risk management in electricity markets

Author

Listed:
  • Ramirez, Andres F.
  • Lamadrid L., Alberto J.

Abstract

We present a framework to determine the risk of assets in electricity systems. We train machine learning and estimation models with optimal outputs from simulating Security Constrained Economic Dispatch (SCED) and Security Constraint Unit Commitment (SCUC). The operational score we present provides a quantitative measure of the likelihood that a generating unit will cause imbalances in the grid due to variability and uncertainty. We illustrate our methodology using real world data from the New York Independent System Operator (NYISO).

Suggested Citation

  • Ramirez, Andres F. & Lamadrid L., Alberto J., 2026. "Financially inspired methodologies for risk management in electricity markets," Renewable Energy, Elsevier, vol. 260(C).
    • Handle: RePEc:eee:renene:v:260:y:2026:i:c:s0960148125026801
    DOI: 10.1016/j.renene.2025.125016
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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