@conference { ,
	title = {Stochastic Optimal Bid to Electricity Markets with Emission Risk Constraints},
	year = {2014},
	month = {13-18/07/2014},
	type = {Invited presentation},
	address = {Barcelona},
	abstract = {This work allows investigating the influence of the emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Valueat-
Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed.},
	keywords = {research;emission limits; risk; stochastic programming; day-ahead electricity market; combined cycle units},
	URL = {http://ifors2014.org/},
	author = {F.-Javier Heredia and Julián Cifuentes and Cristina Corchero}
}

