Workshop

Workshop

Pre-conference virtual seminar

September 21, 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
Allison Weiss, director, optimization analytics, 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

The next big thing: grid-tied batteries. How to maximize value

10:00

New wholesale market dynamics with increased renewable penetration 

  • Structural change in power markets due to increasing renewables penetration
  • Renewables are the new baseload: 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 (DA) and Real-time (RT) price response to changing fundamentals
  • Renewable penetration, market price volatility and real-time price spikes
  • Implications for portfolio managers, developers, investors and risk managers

Scott Wrigglesworth, director, analytics & strategy, Ascend Analytics

11:00

Morning break

11:30

Valuation and risk metrics for renewable portfolios 

  • Typology of risks in renewable portfolios
  • Meaningful uncertainty: A comprehensive risk-based structural framework to manage physical and financial portfolios
  • Modeling real time and day ahead prices: spikes, mean reversion and negative prices
  • Modeling volumetric uncertainty
  • Shape risk and price-volume correlations in key markets
  • Value and risk metrics to manage renewable projects
  • Case study: Valuation and risk management for a renewables portfolio with volume and price uncertainty

Carlos Blanco, managing director, analytic solutions, Ascend Analytics

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

Allison Weiss, director, optimization analytics, Ascend Analytics

2:30

Afternoon break

3:00

Managing and mitigating renewable energy risk 

  • Physical forward contracts and financial fixed-for-floating swap with fixed volume
  • Physical power purchase agreement (PPA)
  • Synthetic power purchase agreement (Virtual PPA)
  • Proxy revenue swaps and revenue puts
  • Case study: hedging against uncertain production volume, timing of energy generation and price risk
  • Batteries as a physical hedge for renewables
  • Case study: co-optimization of renewables + storage

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

4.00

End of the workshop.