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Risk Analysis for an Electrical Power Portfolio Generation Assets

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Risk Analysis for an Electrical Power Portfolio Generation Assets ESCUELA TÉCNICA SUPERIOR DE INGENIERÍA (ICAI) MÁSTER IN THE ELECTRIC POWER INDUSTRY RISK ANALYSIS FOR AN ELECTRICAL POWER PORTFOLIO GENERATION ASSETS Author: Valentín Javier Sanz Ilundain Director: Esperanza Amann Fernández Madrid July 2017. iii iv ESCUELA TÉCNICA SUPERIOR DE INGENIERÍA (ICAI) MÁSTER IN THE ELECTRIC POWER INDUSTRY RISK ANALYSIS FOR AN ELECTRICAL POWER PORTFOLIO GENERATION ASSETS Author: Valentín Sanz Ilundain Director: Esperanza Amann Fernández Madrid July 2017. v UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY vi UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY ABSTRACT This project aims at finding the margin and risk of the Spanish utility Endesa in different scenarios for the year 2025. First, the scenarios have been created according to the possible evolution that may experience the Spanish electric power system. The scenarios vary considering the possible evolution of the generation mix and the demand. Then, the model used to perform the analysis, ARIES, has been updated. For that, it is necessary to fed the model with historical and forward series of the different commodities intervening in the model, as well as other data like the demand growth, the capacity installed of the different technologies etc. Part of this data has been obtained from the Risk Management department of Endesa. Since this data is confidential, the results of the simulations have been described in a qualitative manner. Finally, the model is executed and the obtained results are analyzed in other to establish which are the most advantageous scenarios for the company and what measures can undertake to limit the adverse effects. vii UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY viii UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY TABLE OF CONTENTS ABSTRACT ........................................................................................................................ vii TABLE OF CONTENTS ........................................................................................................ ix LIST OF FIGURES ............................................................................................................... xi LIST OF TABLES ................................................................................................................ xiii 1 INTRODUCTION ........................................................................................................ 1 1.1 Motivation ............................................................................................................ 1 1.2 Goals ..................................................................................................................... 3 1.3 Methodology ........................................................................................................ 4 2 STATE OF THE ART .................................................................................................... 5 2.1 The model ARIES ................................................................................................... 5 2.1.1 General description of the model ................................................................. 5 2.1.2 Prices simulation module .............................................................................. 6 2.1.3 Electric market simulation module ............................................................... 7 2.2 Energy generation in Spain ................................................................................... 8 2.2.1 European Regulation ..................................................................................... 9 2.2.2 Nuclear power plants .................................................................................. 12 2.2.3 Coal-fueled power plants ............................................................................ 15 2.2.4 CCGT power plants ...................................................................................... 18 2.2.5 Renewable energy sources ......................................................................... 20 2.3 Energy demand in Spain ..................................................................................... 24 3 COST OF RISK IN RELATION TO THE GENERATION MIX ......................................... 29 3.1 Inputs to the model ............................................................................................ 29 3.1.1 Historic and forwards of the commodities ................................................. 29 3.1.2 Scenario definition ...................................................................................... 29 3.2 Risk Analysis ........................................................................................................ 32 3.2.1 Risk evaluation tools and definitions .......................................................... 32 3.2.2 Scenario 1 .................................................................................................... 33 3.2.3 Scenario 2 .................................................................................................... 35 3.2.4 Scenario 3 .................................................................................................... 35 3.2.5 Scenario 4 .................................................................................................... 36 3.2.6 Scenario comparison ................................................................................... 37 4 CONCLUSIONS ........................................................................................................ 41 BIBLIOGRAPHY ................................................................................................................. 43 ix UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY x UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY LIST OF FIGURES Figure 1 - Models developed by IIT for Endesa. .................................................................. 2 Figure 2 - Structure of the model ARIES. ............................................................................. 6 Figure 3 - Structure of the electric market simulation module. ......................................... 7 Figure 4 - Installed generation capacity owned by Endesa................................................. 9 Figure 5 - Evolution of the expected emissions in Spain with the application of the PNT. ................................................................................................................................... 11 Figure 6 - Evolution of the number of hired people in the Spanish mining industry. ...... 16 Figure 7 - Evolution of the usage of the RES in Spain for energy generation. .................. 21 Figure 8 - Evolution of the penetration of the consumption of renewable energy in Spain. ........................................................................................................................................... 23 Figure 9 - Evolution of the Spanish peninsular electricity demand. ................................. 25 Figure 10 - Evolution of the Spanish GDP. ........................................................................ 25 Figure 11 - Evolution of the annual variations of the Spanish peninsular electricity demand and the Spanish GDP. .......................................................................................... 26 Figure 12 - Number of clients of Endesa. .......................................................................... 27 Figure 13 - Margin distribution for the interval 2017-2025 simulated in scenario 1. ...... 34 Figure 14 - Margin distribution for the year 2025 simulated in scenario 1. ..................... 34 Figure 15 - Margin distribution for year 2025 in scenario 2. ............................................ 35 Figure 16 - Margin distribution for the year 2025 in scenario 3. ...................................... 36 Figure 17 - Margin distribution for the year 2025 in scenario 4. ...................................... 37 Figure 18 - Comparison between the margin distributions obtained in the different scenarios. ........................................................................................................................... 38 xi UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY xii UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY LIST OF TABLES Table 1 - List of the existing nuclear power plants in Spain and their main characteristics. ........................................................................................................................................... 12 Table 2 - Scenarios simulated with ARIES. ........................................................................ 31 Table 3 - Reserve Margin for scenarios 3 and 4. ............................................................... 31 Table 4 - Comparison of the results of the different scenarios. ....................................... 39 xiii UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA TECNICA SUPERIOR DE INGENIERIA (ICAI) MASTER IN THE ELECTRIC POWER INDUSTRY xiv UNIVERSIDAD PONTIFICIA DE COMILLAS ESCUELA
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