Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method

Jina Kim, Jaehee Lee, Sung-Kwan Joo

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper presents a risk assessment method to measure the Conditional Value at Risk (CVaR) of a transmission expansion project using the Cross-Entropy (CE) method. In the transmission investment, there are various uncertainties such as demand, fuel costs and electricity prices. These uncertain factors can influence the future cash flow of a transmission expansion project and become risk factors for an investor. The CVaR can be used to give an investor an accurate indication of the potential losses for the transmission investment. However, the use of the Crude Monte Carlo (CMC) method in CVaR calculation requires a large computational effort to obtain reliable results. In this paper, the CE method is applied to reduce the computational effort in the CVaR calculation. A numerical example is presented to illustrate the effectiveness of the proposed CE-based CVaR method.

Original languageEnglish
Title of host publicationTransmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009
DOIs
Publication statusPublished - 2009 Dec 16
EventTransmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009 - Seoul, Korea, Republic of
Duration: 2009 Oct 262009 Oct 30

Other

OtherTransmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009
CountryKorea, Republic of
CitySeoul
Period09/10/2609/10/30

Fingerprint

Entropy
Risk assessment
Monte Carlo methods
Electricity
Costs

Keywords

  • Conditional value at risk (CVaR)
  • Cross-entropy (CE)
  • Transmission investment

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Fuel Technology

Cite this

Kim, J., Lee, J., & Joo, S-K. (2009). Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method. In Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009 [5356862] https://doi.org/10.1109/TD-ASIA.2009.5356862

Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method. / Kim, Jina; Lee, Jaehee; Joo, Sung-Kwan.

Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009. 2009. 5356862.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Kim, J, Lee, J & Joo, S-K 2009, Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method. in Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009., 5356862, Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009, Seoul, Korea, Republic of, 09/10/26. https://doi.org/10.1109/TD-ASIA.2009.5356862
Kim J, Lee J, Joo S-K. Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method. In Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009. 2009. 5356862 https://doi.org/10.1109/TD-ASIA.2009.5356862
Kim, Jina ; Lee, Jaehee ; Joo, Sung-Kwan. / Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method. Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009. 2009.
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