F.-Javier Heredia - Academic web site

The paper Stochastic optimal generation bid to electricity markets with emissions risk constraints has been published in the Journal of Environmental Management , Elsevier. This work investigates the influence of the emissions reduction plan and the incorporation of the medium-term derivative commitments in the optimal generation bidding strategy for the day-ahead electricity market. To address emission limitations, we have extended some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), thus leading to the new concept of Conditional Emission at Risk (CEaR). We analyze the economic implications for a GenCo that includes the environmental restrictions of this National Plan as well as the NERP's effects on the expected profits and the optimal generation bid. Preprint available at http://hdl.handle.net/2117/114024.