Dynamiczne strategie zarządzania krótkoterminowym ryzykiem wyboru rynku energii 
elektrycznej w oparciu o probabilistyczne prognozy zysku i miar ryzyka. Studium 
przypadku rynku niemieckiego i polskiego (*)
[Dynamic short-term risk management strategies for the choice of electricity market 
based on probabilistic forecasts of profit and risk measures. The German and the Polish 
market case study]

Joanna Janczura (Department of Applied Mathematics, PWr, Wrocław)


The price risk related to trading in electricity markets has increased significantly in 
the recent years, due to the ongoing markets liberalization and the growing renewable 
energy sources production. In this paper we propose a short-term risk management 
strategy for an electricity supplier, that utilizes diversification of the markets for 
electricity trade. Based on the day-ahead probabilistic forecasts of electricity prices 
we calculate predictions of different risk and profit measures taking into account a 
possible split of the traded energy among markets. Strategies aiming at the risk 
minimization, profit maximization or finding optimal trade-off between risk and return 
are applied for the German and Polish electricity markets. The obtained results show 
that diversifying the markets at which electricity is traded leads to higher profits 
than trading on the day-ahead market and, at the same time, lower risk than associated 
with trading on the intraday or balancing market. In each of the considered cases, 
except for volatility as a risk measure for the German market, the goal of the strategy 
has been achieved. Implementation of the dynamic strategies has improved the outcomes 
in terms of risk or profit, compared to the static ones.


(*) Based on: J. Janczura, E. Wójcik (2022) Dynamic short-term risk management 
strategies for the choice of electricity market based on probabilistic forecasts of 
profit and risk measures. The German and the Polish market case study, Energy Economics 
110, 106015, doi: 10.1016/j.eneco.2022.106015.