LocationRoom BZ E5.20, Universitätsplatz 1 - Piazza Università, 1, 39100 Bozen-Bolzano
Departments Press and Events
23 Feb 2023 12:30-13:30
Cost-at-Risk estimation ancillary serv. market. The case of the Italian electricity Market
research seminar
LocationRoom BZ E5.20, Universitätsplatz 1 - Piazza Università, 1, 39100 Bozen-Bolzano
Departments Press and Events
| full title: Cost-at-Risk estimation in the ancillary services market. The case of the Italian electricity market |
| The seminar takes place both in presence and online via teams abstract: In this work, we are going to explore how to evaluate the cost risk related to the market-based ancillary services procurement by an electricity Transmission System Operator (TSO). Firstly the notion of Cost-at-Risk (CaR) is defined in the context of the dispatching market. Secondly, we are reviewing several classes of models useful for CaR quantification. They include semi-parametric and non-parametric models and are built to evaluate CaR conditionally to a set of possible drivers. Models are estimated using a dataset provided by the Italian TSO and out-of-sample 1-day-ahead and 30-day-ahead CaR forecasts are compared. Results suggest that the model with the globally best performance is the semi-parametric GAM-GARCH model. |