Since early 2000, long-term forward contracts or
power purchase agreements (PPA) auctions have been the main
mechanisms to ensure long-run supply adequacy in many
growing economies, specially in Latin American, such as, Brazil,
Chile, etc. With this framework, two issues are of special concern
to Government agencies and market agents: (i) testing the design
of the auction and its impacts on the power sector and (ii) the
definition of bidding strategies by generators companies (Gencos)
in these auctions to maximize their operation net revenue
adjusted by the risk profile during the whole contract period.
This work concentrates in (ii) and a strategic bidding model that
takes into account the main uncertainties factors and the longrun
Gencos` risk profile will be presented to assess the Willing-to-
Supply curve. The agent risk profile is characterized by means of
a piecewise linear utility function and an intuitive approach,
based on the most relevant financial company’s parameters, will
be introduced to determine it. In addition, a probability
dependent utility function representation for the CVaR coherent
risk measure is provided in order to compare both risk attitudes.
A case study with realistic data from the Brazilian Power System
will be presented to illustrate the applicability of the model.
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