Business Talk 30/01/14 - Andreas Ehrenmann
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"Capacity expansion in a risky environment"
Historically generation expansion planning models for electricity markets were formulated as optimization problems.
The situation is different in restructured markets where investments need to be incentivised by the margin accruing from electricity sales after accounting for fuel and possibly carbon costs. We explain the functioning of electricity markets in short term operation and investment and focus on some of the risks faced today by investors in generation capacity.
In the second part of the talk we propose a toy model to assess the impact of risk on investment. We model risk aversion through the CVaR of plants' profit. The model is formulated as a complementarity problem. An illustration is provided on a small problem that captures important features of today's electricity world. We assess the potential of the approach by analyzing the choice between energy only and capacity market organizations.
Short CV:
Andreas Ehrenmann is Chief Analyst in the Center of Economic Expertise Models and Studies (CEEME) at GDF SUEZ responsible for prospective studies. He worked on energy economic questions including congestion management, renewable integration and CO2, investment decisions, gas storage optimization. Andreas holds a PhD from the University of Cambridge (UK) and Diploma in Mathematics from the University of Karlsruhe (GE).
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