Nikola Krečar, PhD

CEO, Quant 3S d.o.o.

Successful trading in electricity markets relies on the market actor’s ability to accurately forecast the electricity price. The fundamental electricity price models use market information, provided by various price drivers, including the residual that contains a risk premium. In the past, researchers investigating risk premium focused primarily on daily spot price levels, ignoring the intraday information hindering the accurate risk premium determination. For modelling risk premium, we were focused on “ex-ante” approach for assessment of EEX products in particular yearly products. During our research four key drivers were detected providing an insight into the influence of RES generation on risk premium evolution. In general, we came to surprising results that PV production impact on risk premium is greater than that of wind production share, both increasing the risk premium due to their variability and uncertainty. By use of our risk premium method, market actors can forecast risk premium using information readily available to them.