RISK ASSESSMENT OF DISTRIBUTION SYSTEM: REAL CASE APPLICATION OF VALUE AT RISK METRICS
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1 RISK ASSESSMENT OF DISTRIBUTION SYSTEM: REAL CASE APPLICATION OF VALUE AT RISK METRICS Andrej Schreiner, Gerd Balzer (TU-Darmstadt, Germany), Armin Precht, Christian Schorn (EnBW Regional AG, Germany)
2 Content 1.Motivation of Risk Assessment in Power Systems 2.Concept of Value at Risk Methodology 3.Work Flow of Risk Assessment with Value at Risk Index in Power Systems 4.Real Case Application of Methodology 5.Conclusion and Further Research 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 2
3 1. Motivation of Risk Assessment in Power Systems Quality as competitive gain due the globalization of energy sector Trade off between reduction of operational costs and quality System operation risk is influenced by different stochastic factors Searching for simple comprehensive index of the severity and likelihood of operation risks 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung A. Schreiner 3
4 2. Concept of Value at Risk Methodology Origin: In finance for the assessment of highest possible loss of portfolio value during a time period with an appropriated confidence level Definition:"Value at Risk summarizes the expected maximum loss (or worst loss) over a target horizon within a given confidence level" graphically presentation of VaR e.g. expected interruption duration e.g. expected interruption frequency 21. Mai 2008 Fachbereich ETiT Institut für Elektrische Energiesysteme Andrej Schreiner 4
5 2. Concept of Value at Risk Methodology Application of VaR: Mapping Procedure - derivation of appropriated portfolio equation including the factors which influence the value of considered portfolio. Inference Procedure - characterization of stochastic distributions of risk factors. Transformation Procedure - combination of uncertainties of risk factors (found by inference procedure) with exposure to the portfolio value (result of mapping function). 21. Mai 2008 Fachbereich ETiT Institut für Elektrische Energiesysteme Andrej Schreiner 5
6 3. Work Flow of Risk Assessment with VaR Index Separation of risk events by event types and asset groups Portfolio mapping - qualitative definition of risk composition function. Deduction of mathematical equation for risk calculation Inference of risk factors - characterization of the stochastic distribution functions of each risk factor based on available historical data WORK FLOW Transformation procedure - combination of portfolio mapping and inference procedures and calculation of VaR metric 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 6
7 4. Real Case Application of Methodology Analyzed distribution network: 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 7
8 4. Real Case Application of Methodology Separation of risk events by event types and asset groups Portfolio mapping - qualitative definition of risk composition function. Deduction of mathematical equation for risk calculation Inference of risk factors - characterization of the stochastic distribution functions of each risk factor based on available historical data WORK FLOW Transformation procedure - combination of portfolio mapping and inference procedures and calculation of VaR metric 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 8
9 4. Real Case Application of Methodology Separation of risk events by event types and asset groups Portfolio mapping - qualitative definition of risk composition function. Deduction of mathematical equation for risk calculation Inference of risk factors - characterization of the stochastic distribution functions of each risk factor based on available historical data WORK FLOW Transformation procedure - combination of portfolio mapping and inference procedures and calculation of VaR metric 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 9
10 4. Real Case Application of Methodology Separation of risk events by event types and asset groups Portfolio mapping - qualitative definition of risk composition function. Deduction of mathematical equation for risk calculation Inference of risk factors - characterization of the stochastic distribution functions of each risk factor based on available historical data WORK FLOW Transformation procedure - combination of portfolio mapping and inference procedures and calculation of VaR metric 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 10
11 4. Real Case Application of Methodology Separation of risk events by event types and asset groups Portfolio mapping - qualitative definition of risk composition function. Deduction of mathematical equation for risk calculation Inference of risk factors - characterization of the stochastic distribution functions of each risk factor based on available historical data WORK FLOW Transformation procedure - combination of portfolio mapping and inference procedures and calculation of VaR metric 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 11
12 4. Real Case Application of Methodology Results of VaR Calculation 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 12
13 4. Real Case Application of Methodology Comparison between VaR indices and mean value calculation: 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 13
14 5. Conclusion Simple and comprehensive risk indices Differentiation of risk by event types and asset groups Integral analysis of the likelihood and severity of risk by separation, mapping and inference procedures Integral view at the system risk influencing by factors like topology, reliability and outage costs Further research: development of tools for optimization and control of risk by VaR indices (risk factors sensibility analysis). 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 14
15 Thank you for your attention! 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 15
16 3. Work Flow of Risk Assessment with VaR Index Separation of risk events by event types and asset groups Portfolio mapping - qualitative definition of risk composition function. Deduction of mathematical equation for risk calculation Inference of risk factors - characterization of the stochastic distribution functions of each risk factor based on available historical data Transformation procedure - combination of portfolio mapping and inference procedures and calculation of VaR metric: 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Prof. Gerd Balzer 16
17 4. Real Case Application of Methodology 9. Juli 2009 Fachbereich 18 Institut für Elektrische Energieversorgung Andrej Schreiner 17
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