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CVaR-based trading strategies of renewable energy producers under the integration of environmental attribute markets

Author

Listed:
  • Guo, Hongxia
  • Li, Lin
  • Li, Yuan
  • Chen, Haoyong
  • Ma, Qian
  • Zhang, Xianling

Abstract

China's renewable energy generation is rising, driving markets like Tradable Green Certificates (TGC) and Chinese Certified Emission Reduction (CCER). However, given the complexity of China's TGC and CCER trading systems, along with the challenges posed by policy changes, it is crucial to ensure that the environmental benefits of renewable energy products receive appropriate mechanistic and technological support. Therefore, an optimized trading strategy is introduced, accounting for the coupling relationships among electricity, TGC and CCER trading markets. This paper first considered the inherent interrelationships among these markets, establishing a trading strategy model for wind and solar power producers operating within these interconnected markets. To facilitate the development of the environmental attribute product markets, a “TGC-CCER” conversion mechanism is established, enabling the conversion between TGC and CCER. Additionally, considering the speculative behaviour of power producers, this paper integrates Conditional Value-at-Risk (CVaR) theory with a rolling optimization framework for producer trading strategies to mitigate multi-temporal electricity-certificate coupling risks. The numerical results demonstrate that the proposed strategy significantly enhances market interactions while improving the profitability of renewable energy producers. Compared to single-market trading approaches, this strategy increases producer revenues by 2.31 % while simultaneously reducing cross-market transaction risks.

Suggested Citation

  • Guo, Hongxia & Li, Lin & Li, Yuan & Chen, Haoyong & Ma, Qian & Zhang, Xianling, 2026. "CVaR-based trading strategies of renewable energy producers under the integration of environmental attribute markets," Renewable Energy, Elsevier, vol. 260(C).
    • Handle: RePEc:eee:renene:v:260:y:2026:i:c:s0960148125028162
    DOI: 10.1016/j.renene.2025.125152
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