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SUMMARY:Valuation of floating price contract formulae for financial renewa
 ble PPAs - Gauthier de Maere d'Aertyrcke (Tractebel Engie)
DTSTART:20190321T120000Z
DTEND:20190321T124500Z
UID:TALK121423@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:We propose a valuation methodology based on risk measure to co
 mpute the risk premium to cover new structure of financial renewable PPA\,
  where as opposed to traditional unit contingent PPA\, a part of merchant 
 risk remains in the hand of the asset developer. Those new contract struct
 ures are currently emerging on the market: Offtaker are increasingly showi
 ng interest to share the market risk\, as in systems with high RES share\,
  the PPA might become a very poor hedge of their electricity bill (due to 
 RES cannibalization effect). We specifically focus on contract formulae ba
 sed on floating price\, where the financial transfer to the Offtaker is no
 t based on the price captured by the renewable asset but rather on a float
 ing price\, defined as the average of spot prices over a predefined time d
 uration (e.g. yearly\, monthly or daily basis). We then assess several ris
 k mitigation strategies to lower the risk premium\, namely physical (well 
 balanced portfolio of wind\, PV and battery) and/or financial (power deriv
 atives trading).
LOCATION:Seminar Room 1\, Newton Institute
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