Significant investment will be needed in integrating energy and water systems. However, there are risks and uncertainties associated with ESI technologies, policy, prices, market evolution, weather and climate that can have a substantial effect on financial performance and the timing of investments (Yang et al., 2008). These effects are not well-represented in traditional deterministic discounted cash flow investment models estimating expected revenue streams (Dixit and Pindyck, 1994). This WP will develop models of energy investment that consider the inherent risk and uncertainty of integrated energy system technologies using Real Options Analysis (ROA), which is a known technique in corporate finance but has been limited in its application to the energy sector (Fernandes et al., 2011; Devine et al., 2014). It will use this framework and other methods to assess different hedging and support strategies to mitigate the risks associated with ESI and future markets to achieve socially-optimal levels of integrated energy system investment.
Integrating European Electricity Markets – what impact for consumers and producers?
2019; 16th IAEE European Conference, Slovenia; Lisa Ryan, Ewa Lazarczyk (visiting researcher), Guneet Kaur
Liquefied natural gas and gas storage valuation: Lessons from the integrated Irish and UK markets
2019; Applied Energy; Devine MT, Russo M
Combining GARCH model forecasts of volatility with alternative weighting schemes in electricity markets
2018; 2nd International Conference on Energy Finance and the Macroeconomy (ICEFM), France; H. Zhang, J. Bryne, M. Assereto
Volatility modelling using GARCH for solar energy in the United States
2018; 2nd International Conference on Energy Finance and the Macroeconomy (ICEFM), France; Martina Assereto, Julie Byrne
Clean energy investing in public capital markets: Portfolio benefits of yieldcos
2018; Energy Policy; La Monaca, S., Assereto, M. and Byrne, J.
Modelling the impact of demand response on different electricity markets: results and issues
2018; 29th European Conference on Operational Research (EURO 2018), Spain; Mel Devine, Valentin Bertsch
The Profitability of Energy Storage in European Electricity Markets
2018; 15th IEEE International Conference on the European Energy Market (EEM 2018), Poland; Spodniak, P., Bertsch, V. and Devine, M.
Harnessing electricity retail tariffs to support climate change policy
2018; 6th World Congress of Environmental and Resource Economists (WCERE), Sweden; Ryan, L., La Monaca, S., Mastandrea, L. and Spodniak, P.
Linking retail pricing policy with the decarbonisation of the electricity sector
2018; Irish Economics Postgraduate and Early Career Conference 2018, Ireland; Linda Mastrandrea
Volatility modelling using GARCH as an input for real options: the case of solar energy in the U.S.
2018; The International Conference on Energy Economics and Energy Policy (ICEEEP 2018), Spain; Assereto, M. and Byrne, J.
Forward Risk Premia in Long-term Transmission Rights: the Case of Electricity Price Area Differentials (EPAD) in the Nordic electricity market
2018; Utilities Policy; Spodniak, P. and Collan, M.
High-frequency liquidity in the MTS European bond markets
2017; 11th International Conference on Computational and Financial Econometrics - CFE 2017, United Kingdom (excluding Northern Ireland); Hanyu Zhang
Determinants of Power Spreads in Liberalized Electricity Markets
2017; 3rd Applied Financial Modelling Conference, Malaysia; Petr Spodniak and Valentin Bertsch
Behavioural Aspects of Decision Making in Energy Systems - A Selection of Current Topics
2017; 21st Conference of the International Federation of Operational Research Societies - IFORS 2017, Canada; Valentin Bertsch
Designing retail tariffs to decarbonise the electricity system
2017; 2017 14th International Conference on the European Energy Market (EEM), Germany; Ryan, L., La Monaca, S. and Mastrandrea, L.
The consumer's role in flexible energy systems: an interdisciplinary approach to changing consumers' behaviour
2017; IEEE Power & Energy Magazine; Schuitema, G., Ryan, L., & Aravena, C.