Intermediate Portfolio & Risk Management for Renewables: Wind, Solar, Hydro & Battery (VIRTUAL) - RRM2V
Course Summary
This is an intermediate course on portfolio management and hedging for renewable portfolios in an applied context. The course also covers development of Integrated Resource Plans with uncertainty integrating renewables and batteries.
The Meaningful Uncertainty framework, an integrated approach to simulate and manage market and volumetric risk due to variability in loads, renewable generation (hydro, wind, solar), liquidity and operational risks, will be presented with many examples.
Course delegates will gain a practical working knowledge of risk management of physical and financial portfolios in the context of market and volumetric risk. Advanced hedge instruments such as Virtual PPAs, Proxy Revenue Swaps, slice products, and Revenue Puts will be introduced with sample applications.
Best practices in battery storage valuation and operations will be presented using practical examples illustrating key concepts. Trading strategies to optimize stand-alone storage or renewable plus storage operations will be covered in the course.
We will also discuss Integrated Resource Planning under uncertainty, with emphasis on planning for flexible resource adequacy to integrate renewables and best practices to calculate loss of load probability (LOLP).
Knowledge of power market dynamics as well as physical and hedge instruments is required.
What Will You Learn?
- Introduction to meaningful uncertainty framework to manage energy renewable portfolios
- Best practices in valuation of wind, solar and hydro projects with uncertainty
- Battery storage valuation, optimization and operations
- Integrated Resource Planning (IRP) with uncertainty for renewable portfolios
- Value metrics and applications for renewable energy portfolios
- Advanced Hedge structures: Virtual PPAs, Slice products, Proxy Revenue Swaps, Revenue Puts
- Predictive analytics for hourly and subhourly price signals
- Understand co-optimization of renewables and batteries
Who Should Attend?
- Renewable and Battery owners
- Energy Traders and Analysts
- Investors and Developers
- Utilities
- Regulators
- Market and Credit Risk managers
- Audit and Legal teams
Course Content
Modeling and Managing Volumetric and Weather Risk
- Key sources of Supply and Demand volumetric risk
- Volume risk from wind, solar and hydro resources
- Excel case study: Modeling price and volumetric variability with simulations
- Long and Short positions before and after hedging
- Optimal hedge ratios under different price-volume correlations
- Case study: Changes in load levels and hourly shapes due to pandemic crisis
The Meaningful Uncertainty Framework: Simulation of key portfolio drivers
- Key features of the emerging renewable based power grid
- Introduction to hybrid models integrating weather, load, and price variability
- How to produce realistic weather, load, gas and price scenarios
- Forward curves and simulation of forward prices for renewable portfolios
- Modeling real time and day ahead prices: Spikes, mean reversion and negative prices
- Load forecast and custom dynamic shapes
- Modeling volumetric uncertainty in renewable production and loads
- Simulating renewable generation that actually resembles generation history
Valuation of Renewables Portfolios
- Value and risk metrics to manage renewable projects
- Keys to profitable renewable projects: Optimal siting, sizing, and operations
- Identifying regions with similar basis risk patterns
- Forward curves, scalars and basis
- What wrong with deterministic NPV valuations for renewables?
- Optimization and dispatch models
- Case study: Valuation of a Hydro Project with volume and price uncertainty
- Wind-price and Solar-Price correlation in key markets. Key considerations
- Case study: Valuation of a Solar and Wind Project with volume and price uncertainty
Advance hedging instruments for mitigating renewable energy risk
- Volumetric and Price Risks
- Review of PPAs and Virtual PPAs
- Case study: Difference between physical and financial PPAs
- Proxy revenue swaps and Slice Products
- Case study: Hedging against uncertain production volume, timing of energy generation and price risk with Proxy Revenue Swap
- Proxy Revenue Puts
Battery Storage: Valuation and Operations
- 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 with perfect and imperfect foresight
- Revenue optimization given both physical characteristics and ISO market rules
- Assessment of different bidding strategies for energy and ancillary services
- Integration of probabilistic forecasting of market conditions with stochastic optimization.
- Profit maximization with strategic operations and bidding
- Case study: Co-optimization of day-ahead energy, ancillary services, and real-time energy markets under uncertainty
Position and Risk Reporting for Renewable Portfolios
- Key features of decision-support position and risk reports
- Net Position Reports: Volumetric vs. Cash Flow Reports
- Revenues, Costs and Net Revenues Margin: Distributions and Payoff Profiles
- Probability distributions, Risk Metrics and Hedging
- Risk-based hedging and optimal portfolios
- Attribution analysis to key risk drivers: Net Revenue projections vs. Budget estimates
- Active vs. Passive Portfolio Management
- Physical portfolio with variability on supply and demand side: Generation, load, block-contracts
- Wholesale Net Revenue Reports: Budget vs. MtM
- How are we doing vs. Budget and why?: Overview of attribution reports
Integrated Resource Plans with Renewables and Batteries
- Resource Planning 1.0 vs. Resource Planning 2.0: Bringing uncertainty into IRPs
- Recent Headlines in Integrated Resource Planning
- Modeling paradigm with high renewables
- Integrating Wind, Solar, Hydro and Batteries in the Portfolio
- Case study: Co-optimization of renewables + storage
- Resource adequacy with renewables
- Best practices in Loss of Load Probability (LOLP) calculations
- Avoided cost of energy, capacity and carbon
- Case study: Glendale Water and Power finds a way forward to bring clean energy and meet local reliability
