Enerji Programları
K06.Fundamentals of Statistical Analysis for Energy Sector
1.The Basics of Deterministic vs. Probabilistic Thinking in Deregulated Markets
a. Means vs. Standard Deviations
b. Distribution Shapes
c. Confidence Intervals
d. Probability
e Simulation
Application:
Monte Carlo Simulation
Example—Customer Migration Model Estimating Migration out of Standard Offer Service in a Deregulated Retail Electricity Market
2.Correlation and Regression Analysis for Maintaining the Competitive Edge
a. Univariate and Multivariate Analysis
b. Hypotheses Testing
c. Testing for Equal Means and Variances
d. Control Charts
Application:
Benchmarking to Industry Standards
Example 1—Comparing O&M Expenditure to that of Peer Facilities
Example 2— Estimating the “Economies of Scale” (marginal cost reduction) Associated with Multiple Unit Generation Facilities
3.Time Series Step-by-Step
a. Time Plots
b. Adjusting for Stationarity
i. Logarithmic Transformation
ii. Differencing
c. Correlation and Partial Correlation Functions
d. Model Specification and Selection
e. ARMA Models
i. AR()
ii. MA()
iii. ARMA()
f. Estimated Parameters and Standard Errors
g. Testing for White Noise
i. Heteroskedasticity
II. Autocorrelation
h. Forecasting Future Values
i. Additional Seasonality Considerations
4. Introduction to Real Options Analysis
a. Details of Option Model Implementation
b. Black-Scholes, Binomial Trees, and GARCH Models
Application:
Real Option Valuation
Example of Valuing The Option of Real-Time Forward Load Reduction
c. Estimating Volatility and Uncertainty In Historical Prices
d. Measuring Forward Volatility
e. Adapting Value-at-Risk (VaR) ort he Energy Industry
Application:
Minimizing Price Risk through Operational Design Flexibility
Example of Valuing the Option of Installing Duel Fuel Capability
Application
Principles of Risk Management
Example Calculation of VaR for a Multi Asset Portfolio and Extension
