Abstract
Abstract: In order to promote competition in Indian Electricity Market as per Indian Electricity Act 2003, Power Exchanges are established and running successfully since 2008. Power exchange is an electronic exchange which provides a common place for electricity trading. Price of electricity is more volatile than any other commodity. This volatile nature of electricity-price introduces risk to market participants. Hence assessment and control of risk have become essential tasks for the players in power market. In this paper Value at Risk (VaR) & Conditional Value at Risk (CVaR) methods are used for the assessment of price-risk. The data of Market Clearing Price (MCP) available at Indian Energy Exchange (IEX) are used for the calculation of risk. The results are discussed in detail.
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