The case study presented here demonstrates using MATLAB to build an application for measuring the risks associated with a portfolio of gas-fired power plants operated in New England. The application has an interface implemented in Excel with all of the analytics performed by MATLAB. The application allows the user to specify the characteristics of the 7 plants including the capacity, heat rate, variable operation and maintenance costs and minimum run time. This portfolio can be backtested using a simple dispatch strategy on historical gas and electricity prices to compute historical profit and plant operation statistics. The risk measures are computed by simulating gas and electricity prices into the future using a hybrid model implemented in MATLAB, simulating the dispatch for each scenario of market prices and computing cash-flows arising from the operation of the plants. The distribution of the cash-flows is analyzed to produce a 90 and 95 cash-flow at risk measure for each plant

Introduction to ETRM Case Study.doc
ModelElectricity.m
ModelNGPrice.m
ModelTemperature.m
PlantRisk.prj
PlantRiskDeployed.xlsm
PlantRiskSpLink.xlsm
PlantRiskTemplate.xlsx
SavedModels
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...........\NEholidays.mat
...........\NGPriceModel.mat
...........\TemperatureModel.mat
SimulationDispatch.m
backtestPlantPortfolio.m
dispatch.m
dynamicDateTicks.m
fetchDBElecData.m
fetchNGData.m
fitPlot.m
genPredictorsElec.m
html
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license.txt
simulateElecPrices.m
simulateNGPrices.m
simulatePlantPortfolio.m
simulateTemperature.m
vbamodule.bas

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