Workshop

Workshop

Pre-conference workshop

May 11th 2020: Portfolio management for renewable portfolios and the new market dynamics

Led by: Carlos Blanco, managing director, analytic solutions, Ascend Analytics
Scott Wrigglesworth, director, analytics & strategy, Ascend Analytics

Summary

This interactive workshop is designed to provide a deep level of understanding of valuation and risk management for wind, solar and battery projects. The course starts with an overview of the new dynamics in wholesale spot and forward electricity markets as a result of increasing renewable penetration. Practical examples using case studies illustrate the main risks for renewable and battery projects such as market, volume, operational, legal and counterparty risks. The course explores risk assessment, modeling and mitigation techniques for merchant wind, solar and battery projects using financial hedges, structured products and insurance.  Multiple case studies will show how to perform valuation, risk analysis and hedge design for renewable and battery projects and portfolios.

Target Audience

  • Portfolio managers
  • Risk managers
  • Energy traders and analysts
  • Investors and developers
  • Regulators
  • Audit, compliance and legal teams
  • Quantitative analysts

Highlights

  • Tools and techniques for analysis and modeling of renewables and batteries
  • Learn how to identify, quantity and manage the main risks from renewable projects.
  • Meaningful uncertainty framework: Simulation and Risk Metrics for renewable portfolios
  • How to identify and quantify material risk drivers of renewable portfolios
  • Best practices in battery storage valuation, optimization and operations
  • Risk transfer mechanisms for renewable projects: Financial hedges, structured products, insurance
  • Integration of probabilistic forecasting of market conditions with stochastic optimization
  • Building forward price curves for renewable projects

Suggested reading:

Navigating the new energy market dynamics

Simulating meaningful uncertainty for complex energy portfolios

08:30

Registration

09:00

New wholesale market dynamics with increased renewable penetration

  • Structural change in power markets due to increasing renewables penetration
  • Generation stack and heat rates in key markets
  • Drivers of investment in renewable energy
  • Forward prices and forward curves: net loads and hourly price shapes
  • Day ahead vs. real time prices
  • A tale of two markets: ERCOT and CAISO

10:30

Morning break

11:00

Valuation and risk metrics for renewable portfolios

  • Meaningful uncertainty: introducing the impact of renewables in power markets
  • Case study: renewables risk assessment and quantification
  • Modeling forward prices
  • Modeling real time and day ahead prices: spikes, mean reversion and negative prices
  • Modeling volumetric uncertainty
  • Value and risk metrics to manage renewable projects
  • Optimization and dispatch models
  • Correlation between volume risk and price behavior in key markets. Key considerations
  • Optimal hedges in renewables portfolios
  • Case study: valuation and risk metrics for a Wind and Solar portfolio with volume and price uncertainty

12:30

Lunch

1:30

Battery storage: valuation, trading, operations and risk management

  • Batteries as the new flex power plant
  • Keys to profitable battery projects: optimal siting, sizing, valuation and operations
  • Arbitrage between day ahead and real time markets
  • Techniques to forecast hourly and sub-hourly price spikes and negative prices
  • Energy storage valuation: optimization and dispatch models
  • Integration of predictive analytics with storage optimization
  • Revenue optimization given both physical characteristics and ISO market rules
  • Assessment of different bidding strategies for energy and ancillary services
  • Case study: co-optimization of day-ahead energy, ancillary services, and real-time energy markets under uncertainty
  • Integration of probabilistic forecasting of market conditions with stochastic optimization

3:00

Afternoon break

3:30

Battery storage: valuation, trading, operations and risk management

  • Batteries as the new flex power plant
  • Keys to profitable battery projects: optimal siting, sizing, valuation and operations
  • Arbitrage between day ahead and real time markets
  • Techniques to forecast hourly and sub-hourly price spikes and negative prices
  • Energy storage valuation: optimization and dispatch models
  • Integration of predictive analytics with storage optimization
  • Revenue optimization given both physical characteristics and ISO market rules
  • Assessment of different bidding strategies for energy and ancillary services
  • Case study: co-optimization of day-ahead energy, ancillary services, and real-time energy markets under uncertainty
  • Integration of probabilistic forecasting of market conditions with stochastic optimization

5.00

End of the workshop.