Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer

In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

Optimal offering strategies for wind power producers considering uncertainty and risk

This paper provides a two-stage stochastic programming approach for the development of optimal offering strategies for wind power producers. Uncertainty is related to electricity market prices and wind power production. A hybrid intelligent approach, combining wavelet transform, particle swarm optimization and adaptive-network-based fuzzy inference system, is used in this paper to generate plausible scenarios. Also, risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study, based on a wind farm in Portugal, are provided and analyzed. Finally, conclusions are duly drawn.

Scheduling of a hydro producer considering head-dependency, price scenarios and risk-aversion

In this paper, a mixed-integer quadratic programming approach is proposed for the short-term hydro scheduling problem, considering head-dependency, discontinuous operating regions and discharge ramping constraints. As new contributions to earlier studies, market uncertainty is introduced in the model via price scenarios, and risk aversion is also incorporated by limiting the volatility of the expected profit through the conditional value-at-risk. Our approach has been applied successfully to solve a case Study based on one of the main Portuguese cascaded hydro systems, requiring a negligible computational time.

Evaluation of risks at MANTEM

International statistics show that the problem of the accidents at work is far away to be solved (ILO estimates that every year about 270 million work accidents and 160 million occupational diseases resulting in the death of more than 2 million workers occurs in the world). That's why the EU global goal concerning the community' strategy for occupational health and safety for 2007-2012 is to reduce in 25% the incidence rate of occupational accidents and diseases. In this prospect it is presented a case study which justify the need to develop studies in Safety, Hygiene and Health at Work area as a way to encourage the managers to implement preventive actions and strategies, besides meeting the legal requirements, in order to reduce the occurrence of work accidents, improve the work conditions and therefore obtain benefits in added values and reinforced competition. The general objective of this study is to describe the work situations, identify the dangers and associate the potential risks and consequences; evaluate and value the risk. The study uses the Failure Table methodology and, in the business area of an organization which will be from now on designated as MANTEM that works in the electromechanical maintenance area. The results were, amongst others, some actions to be implemented to eliminate/minimize risks.

A gestão do risco associado à negociação de energia eléctrica através de contratos bilaterais e mercado spot

Num mercado de electricidade competitivo onde existe um ambiente de incerteza, as empresas de geração adoptam estratégias que visam a maximização do lucro, e a minimização do risco. Neste contexto, é de extrema importância para desenvolver uma estratégia adequada de gestão de risco ter em conta as diferentes opções de negociação de energia num mercado liberalizado, de forma a suportar a tomada de decisões na gestão de risco. O presente trabalho apresenta um modelo que avalia a melhor estratégia de um produtor de energia eléctrica que comercializa num mercado competitivo, onde existem dois mercados possíveis para a transacção de energia: o mercado organizado (bolsa) e o mercado de contratos bilaterais. O produtor tenta maximizar seus lucros e minimizar os riscos correspondentes, seleccionando o melhor equilíbrio entre os dois mercados possíveis (bolsa e bilateral). O mercado de contratos bilaterais visa gerir adequadamente os riscos inerentes à operação de mercados no curto prazo (mercado organizado) e dar o vendedor / comprador uma capacidade real de escolher o fornecedor com que quer negociar. O modelo apresentado neste trabalho faz uma caracterização explícita do risco no que diz respeito ao agente de mercado na questão da sua atitude face ao risco, medido pelo Value at Risk (VaR), descrito neste trabalho por Lucro-em-Risco (PAR). O preço e os factores de risco de volume são caracterizados por um valor médio e um desvio padrão, e são modelizados por distribuições normais. Os resultados numéricos são obtidos utilizando a simulação de Monte Carlo implementado em Matlab, e que é aplicado a um produtor que mantém uma carteira diversificada de tecnologias de geração, para um horizonte temporal de um ano. Esta dissertação está organizada da seguinte forma: o capítulo 1, 2 e 3 descrevem o estado-da-arte relacionado com a gestão de risco na comercialização de energia eléctrica. O capítulo 4 descreve o modelo desenvolvido e implementado, onde é também apresentado um estudo de caso com uma aplicação do modelo para avaliar o risco de negociação de um produtor. No capítulo 5 são apresentadas as principais conclusões.

A gestão baseada no valor: Métricas tradicionais e medidas de performance ajustada ao risco. Risk Adjusted Return on Capital (RAROC) - Aplicação prática à actividade bancária

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Fungal contamination of sandpits from recreational parks and schools: a potential risk for human health

Sandpits used by children are frequently visited by wild life which constitutes a source of fungal pathogens and allergenic fungi. This study aimed to take an unannounced snapshot of the urban levels of fungal contaminants in sands, using for this purpose two public recreational parks, three elementary schools and two kindergartens. All samples were from Lisbon and neighboring municipalities and were tested for fungi of clinical interest. Potentially pathogenic fungi were isolated from all samples besides one. Fusarium dimerum (32.4%) was found to be the dominant species in one park and Chrysonilia spp. in the other (46.6%). Fourteen different species and genera were detected and no dermatophytes were found. Of a total of 14 species and genera, the fungi most isolated from the samples of the elementary schools were Penicillium spp. (74%), Cladophialophora spp. (38%) and Cladosporium spp. (90%). Five dominant species and genera were isolated from the kindergartens. Penicillium spp. was the only genus isolated in one, though with remarkably high counts (32500 colony forming units per gram). In the other kindergarten Penicillium spp. were also the most abundant species, occupying 69% of all the fungi found. All of the samples exceeded the Maximum Recommended Value (MRV) for beach sand defined by Brandão et al. 2011, which are currently the only quantitative guidelines available for the same matrix. The fungi found confirm the potential risk of exposure of children to keratinophilic fungi and demonstrates that regular cleaning or replacing of sand needs to be implemented in order to minimize contamination.