Risker: Platform Implementation of Complex System Model for Financial Risk Management in Energy Markets

Abstract

In the last five years, electricity markets have undergone an important transformation. The main reasons behind are the development of more competitive and profitable environments. Thus in many economies around the world it has gone from big monopolies to oligopolies, where competition laws of supply and demand govern their behavior. On the other hand, the experience of the agents involved in these markets are increasing regarding their level of knowledge of the environment and the facility for accessing information. Consequently, more robust models for measuring risk are required, allowing them to implement the operation planning in the short and medium terms. Agents have defined objectives that in most cases are focused on profit maximization under internal or external constraints. In this type of scenarios with open markets and free competition, it is very complex to consider all the variables involved. Previous research has been pursued in order to manage the operation of the power systems, smart grids, blackouts, stability, and prediction. There are also developed models that aim of establishing the best strategy in the energy auctions, which optimizes the profitability of generators. However, they exclude income from traders whose main function is brokering with a different risk exposure. In order to tackle this issue, in this paper we present a complex model that targets to obtain the financial equilibrium between agents to ensure the compliance of transactions (purchases and sales of energy), considering key risk indicators. We implemented a proof-of-concept service platform based on the proposed model called Risker and its architecture and features are depicted.