Simulation¶

price simulation¶

Price simulations needed for

• Value at Risk (forward prices)

• Gross Margins at Risk (spot prices)

• Credit at Risk (settlements and MtM)

simulation methodologies¶

electricity splot price

• historical sampling + scaling

• structure modeling with bid stack

• stochastic models (mean reverting jump defussion)

electricity forward price (swap or cap)

• historical sampling of returns

• stochastic models (brownian motion)

electricity future price

• combination of spot and forward prices

non-standard contract price

• option pricing model

• equation from forward pricing

LGC and STC price

• historical sampling of returns

• stochastic models (brownian motion)

• other

load simulation

• long term (customer churn) and short term (daily/seasonal shape, flex)

• stochastic expression (ornstein-uhlenbeck)

• regression approach (average of load + rand)

• historical sampling