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KYOS offers specialized advise on trading and risk management in energy markets. Our expert team has years of experience in quantitative modelling and advisory services in commodity markets. Our sophisticated solutions are developed to support decision making, investment proposals and risk calculations. KYOS has a clear focus on the following areas: Products, Consulting and Training.

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    Highlights

    Kyos Consulting - News & Highlights

    Publications - Power Markets

    Overview:

    ► Improved hourly shaping using renewable production information (KYOS Analysis, 2014)

    ► How renewables shape the future - integration of renewables growth in hourly price forward curves (Energiewirtschaftliche Tagesfragen, 2013)

    Guidelines for valuation of real options in energy markets (KYOS white paper, 2013)

    ► How to effectively hedge the value of a power station: a backtest (KYOS analysis, 2013)

    Hamitabad power plant value assessment (independent analysis KYOS and B&W, 2012)

    ► Power plant hedging strategies: comparing delta hedge approaches (Energy Risk, 2012)

    Realistic power plant valuations: How to use cointegrated power & fuel prices (WorldPower, 2009)

    ► The value of starting up the power plant (WorldPower 2010)

    ► Effective pricing of wind power: uncertainties in wind production often priced at too low levels (WorldPower 2008)

    ► Pricing of DONG Virtual power plant for Q1-2011 and Yr-2011 (independent analysis)

    See also:
    Gas market publications. Click here.
    Risk and pricing publications. Click here.

    Improved hourly shaping using renewable production information

    Summary: In this report we study the effect of renewable power production on the intra-day shapes. The forward curve builder of KYOS (KyCurve) has a special module to take the renewable production into account when creating hourly price forward curves. Part of the model is a sensitivity estimation of how hourly power prices respond to changes in renewable production. Our analysis shows that this is an important component, even more so for longer term forward curves. Furthermore, we show that the sensitivity varies per hour and weekday.

    click here to download the report

    How renewables shape the future

    2013, issue 5
    Energiewirtschaftliche Tagesfragen (original in German)

    Summary: In 2012, the German capacity of solar energy passed the 32 GW mark. Together with the growth in wind power generation, this has depressed market prices. In this article, we take a detailed look at how this is further going to shape future price levels. Whereas the market trades baseload and peakload products, we shift attention to the more detailed hourly price differences, reflected in hourly price forward curves (HPFCs). For example, we demonstrate that during day-time, an increase in the share of renewable production by 10 percentage points reduces power prices by 6.6%. During the night, the impact of renewables is even larger.

    click here to download in English, or click here to download in German. See also the journal's website: ET

    Guidelines for valuation of real options in energy markets

    May 2013
    Independent white paper by KYOS Energy Consulting

    Summary: Companies can be more competitive if they know how to accurately value and manage their energy real options. They make better investment and trading decisions, capture more cash-flows from the available assets, and know better how to hedge the risks in the market. In order to achieve these goals, a range of methodologies is available for forward curve building, Monte Carlo simulation, (stochastic) dynamic programming, and least-squares Monte Carlo. This document describes the main methodologies and provides a few tests for their quality, particularly focusing on power plants.

    click here to download

    How to effectively hedge the value of a power station: a backtest

    June 2013
    Independent analysis by KYOS Energy Consulting

    Summary: Power plant valuation models aim to predict the total value that can be made in a future time period. Valuation models based on the real option approach are able to clarify not only how much value can be currently locked in (the intrinsic value), but also the value that can be generated additionally (the extrinsic value). Important questions for investment analysis and trading decisions are:
    • Are the values from a power plant valuation model realistic?
    • What trading strategy should be employed to generate the extra income with greater certainty?
    • If the trading strategy had been applied in the past, would the predicted value have been realized?
    This paper answers these questions by following a delta hedging trading strategy over 2012. It is applied to a gas-fired power station in the German market.

    click here to download

    Hamitabad power plant value assessment (Turkey)

    January 2012
    Independent analysis by KYOS Energy Consulting  and B&W Energy Consultancy

    Turkish summary: Bu rapor Hamitabad elektrik santralinin değerlendirme sonuçlarını göstermektedir.  Santral İstanbul’a yakın bir il olan Kırklareli’nde bulunmaktadır ve Türk hükümeti tarafından özelleştirilmektedir. Santral ilk olarak 1990 yılında inşa edilmiştir ve 1120 MW maksimum kapasiteye sahiptir.  Değerlendirme 2012-2020 dönemi açısından Türk enerji piyasası  için vadeli işlemler ile spot fıyatı varsayımları temelinde yapılmıştır. Biz %48 saatlik üretim ile elde edilecek miktarı 664 milyon € olarak değerlendiriyoruz. 1120 MW’lik santral kapasitesi ile bu sayıyı böldüğümüzde, 575 €/kWh. sonucunu elde ediyoruz.

    Summary: This report presents the results of the valuation of the Hamitabad power station. It is situated in Kirklareli, close to Istanbul, and is now being privatized by the Turkish government. The power plant was originally constructed in 1990 and has a maximum capacity of 1120 MW. The valuation has been performed on the basis of forward and spot price assumptions for the Turkish power market for the period 2012-2020.

    click here to download

    Power plant hedging strategies: comparing delta hedge approaches

    Energy Risk, 2012
    Hans van Dijken, Alexandra Bundalova and Cyriel de Jong

    Summary: A comparison of common delta-hedging strategies and calculations finds that simple formulas used to calculate delta hedges can lead to severe biases. This article presents a relatively fast, but more accurate calculation approach. It is based on a combination of Monte Carlo price simulations and dispatch optimization, using dynamic programming.  

    click here to download


    Realistic power plant valuations: How to use cointegrated power & fuel prices

    WorldPower, 2009
    Hans van Dijken, Henk Sjoerd Los and Cyriel de Jong

    Summary: Traditional net present value (NPV) analysis disregards the flexibility to adjust production decisions to market developments, and thus underestimate true plant value. On the other hand, methods treating power plants as a series of spread options ignore technical and contractual restrictions, and thus overestimate true plant value. In this article we demonstrate the use of cointegration to incorporate market fundamentals and calculate dynamic, yet reasonable, spread levels and power plant values.

    click here to download


    The value of starting up the power plant

    WorldPower, 2010
    Hans van Dijken, Dirk van Abbema, Henk Sjoerd Los and Cyriel de Jong

    Summary: In this article we demonstrate the impact of various start-stop constraints and costs for the value of a power station. This impact analysis is possible by applying advanced techniques for generating realistic Monte Carlo price simulations in combination with techniques for optimizing the production pattern. Techniques include dynamic programming and least-squares Monte Carlo..  

    click here to download


    Effective pricing of wind power: uncertainties in wind production often priced at too low levels

    WorldPower, 2008
    Hans van Dijken and Cyriel de Jong

    Summary: This article describes the pricing and hedging of wind power contracts. It demonstrates that substantial discounts relative to baseload power prices are reasonable to cover the negative wind-price correlation and to cover the difficulty of hedging price risks.  

    click here to download


    Pricing of DONG VPP for Q1-2011 and Yr-2011

    KYOS Analysis, 2010

    Summary: This report presents the results of the valuation of a virtual power plant contract (VPP). The VPP is offered by DONG Energy for the 1th quarter of 2011 and for year 2011, with the Danish DK1 market as a reference. The report explains the whole process to come to a valuation: from current market prices to simulations of future prices and VPP cash-flows. We find a higher extrinsic value than has been paid for in the market.

    click here to download

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