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MSP2: Risks and Finance in Integrated Energy Markets

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.

Members


Dr Julie Byrne
Funded Investigator, Assistant Professor, School of Business, University College Dublin
julie.byrne@ucd.ie
01 716 8916
Dr Lisa Ryan
Funded Investigator, Assistant Professor, School of Economics, University College Dublin
lisa.ryan@ucd.ie
+353 1 716 8212
Dr John Curtis
Funded Investigator, Associate Research Professor, ESRI, Dublin
John.Curtis@esri.ie
+353 1 8632000
Prof Valentin Bertsch
Professor of Energy Systems Analysis, University of Stuttgart, Germany
Valentin.Bertsch@dlr.de
Ms. Kathryn Logan
Energy Policy Researcher
k.logan@abdn.ac.uk
Martina Assereto
PhD Researcher
martina.assereto@ucdconnect.ie
Dr Petr Spodniak
Postdoc Researcher
petr.spodniak@esri.ie
Linda Mastrandrea
Masters Researcher
linda.mastrandrea@ucdconnect.ie
Dr Hanyu Zhang
Postdoctoral Researcher
hanyu.zhang@ucd.ie
Guneet Kaur
Research Assistant
guneet.kaur@ucdconnect.ie

Research Outputs


Conference

Integrating European Electricity Markets – what impact for consumers and producers?

2019; 16th IAEE European Energy Conference, Slovenia; Ryan L, Lazarczyk E, Kaur G

Conference

Combining GARCH Forecasts for Volatility with Alternative Weighting Schemes in Electricity Markets

2019; Asian Meeting of the Econometric Society (2019 AMES), China; Hanyu Zhang, Martina Assereto, Julie Byrne

Conference

Volatility modelling for solar energy in the United States

2019; 7th International Symposium on Environment & Energy Finance Issues (ISEFI 2019), France; Martina Assereto, Julie Byrne

Journal

Liquefied natural gas and gas storage valuation: Lessons from the integrated Irish and UK markets

2019; Applied Energy; Devine MT, Russo M

DOI | OA

Conference

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

Conference

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

Journal

Clean energy investing in public capital markets: Portfolio benefits of yieldcos

2018; Energy Policy; La Monaca, S., Assereto, M. and Byrne, J.

DOI

Conference

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

Conference

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.

DOI

Conference

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.

OA

Conference

Linking retail pricing policy with the decarbonisation of the electricity sector

2018; Irish Economics Postgraduate and Early Career Conference 2018, Ireland; Linda Mastrandrea

Conference

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.

Journal

Energy efficiency in the food retail sector: barriers, drivers and acceptable policies

2018; Energy Efficiency; Dixon-O'Mara, C. and Ryan, L.

DOI | OA

Journal

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.

DOI

Conference

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

Conference

Determinants of Power Spreads in Liberalized Electricity Markets

2017; 3rd Applied Financial Modelling Conference, Malaysia; Petr Spodniak and Valentin Bertsch

Journal

Solar PV where the sun doesn't shine: Estimating the economic impacts of support schemes for residential PV with detailed net demand profiling

2017; Energy Policy; La Monaca, S. and Ryan, L.

DOI | OA

Conference

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

Conference

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.

DOI

Journal

The consumer's role in flexible energy systems: an interdisciplinary approach to changing consumers' behaviour

2017; IEEE Power and Energy Magazine; Schuitema, G., Ryan, L., & Aravena, C.

DOI