Die Bewertung von Handelsrisiken eines Übertragungsnetzbetreibers anhand einer Monte-Carlo-Simulation

EnBW Transportnetze AG (TNG) is the transmission system operator (TSO) of Energie Baden-Württemberg AG. Due to the Renewable Energy Sources Act, the TSOs are obliged to take-up the (fluctuating) complete amount of electricity made of renewable resources. The TSOs have to transform this feeding into a constant output. Therefore, TNG has started trading on the European Power Exchange. The amount of electricity needed to be bought and sold respectively in order to create a constant output involves risks because of price volatility. As a result of the merit-order-effect, these risks increase. Due to this effect, procurement costs generally exceed sales revenues despite of well-balanced quantitative electricity tradings. For evaluating the procurement and merchandise risk at the intraday market, a Monte-Carlo-Simulation is executed on the basis of historical turnover data.