eprintid: 131
rev_number: 4
eprint_status: archive
userid: 5
dir: disk0/00/00/01/31
datestamp: 2008-01-25
lastmod: 2015-05-29 19:47:55
status_changed: 2009-04-08 16:54:37
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Russell, Ken
creators_name: Cerone, Pietro
creators_name: Challis, Vivien
title: Calculation of a risk measure for the net system load profile
ispublished: pub
subjects: utilities
subjects: finance
studygroups: misg24
companyname: Integral Energy
full_text_status: public
abstract: The Independent Pricing and Regulatory Tribunal (“IPART”) regulates the prices electricity retailers can charge their default customers. This regulation takes the form of a default tariff. Currently, IPART considers the NSLP of each standard retailer, and any projected future changes in these NSLPs, before setting tariff levels for default customers.
In the process of constructing the default tariff, IPART assumes that the cost of purchasing energy is equal for all retailers. IPART also makes no allowance for hedging costs, which will vary depending upon the NSLP of the electricity retailer. If one retailer has more NSLP volatility than other retailers, their hedging costs for default customers will increase. Under the current default tariff structure, these increased hedging costs become an unrecoverable expense.
The aim of this project is to explore the volatility of Integral Energy’s NSLP, relative to that of other retailers, with a view toward developing a risk multiplier that accurately and reliably quantifies the volatility differences between NSLPs.
date: 2007-02-09
date_type: published
citation:   Russell, Ken and Cerone, Pietro and Challis, Vivien  (2007) Calculation of a risk measure for the net system load profile.  [Study Group Report]     
document_url: http://miis.maths.ox.ac.uk/miis/131/1/misg2007paper5.pdf