Berlin 2018 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 10: Financial Markets and Risk Management II

SOE 10.3: Vortrag

Dienstag, 13. März 2018, 12:00–12:15, MA 001

Riskmanagement for electric power supply in times of variable, renewable source of energy — •Magda Schiegl — University of Applied Sciences Landshut, Am Lurzenhof 1, D- 84036 Landshut, Germany

It is well known that a production increase in fluctuating sources of energy, as for instance photovoltaic (pv) and wind energy, leads to a need of growing surplus power installed in order to meet the demand side. We apply methods of riskmanagement to evaluate the reliability of the German energy supply depending on the relation between the fluctuating, renewable energy and the total energy production. To reach this aim we begin with empirical data analysis: The energy time series of pv and wind production on the one hand and the load time series on the other. We separate the time series into a deterministic and a stochastic part by the help of Fourier analysis. On this basis we develop stochastic models for the three time series and calibrate them on the empirical, German power data. Finally, we calculate quantities known from riskmanagement as for instance the default probability or the expected shortfall for these calibrated models. This enables us to discuss the reliability of the future power supply on the basis of a stochastic model and not only as a scenario analysis of past, empirical data as is known from the literature.