Risk management
with wind derivates
The wind energy industry has realized the necessity
of an active management of risks by variations
in the wind conditions. This point is of special interest
for the wind farm operators since the wind power production
is of course submitted to natural variations.
Related to the operation of wind farms a partial transfer
of the wind risk to a contract partner allows the financial
covering and stabilization of future profits.
The EuroWind GmbH delivers for that purpose a statistically
covered risk analysis
for any wind farms throughout the whole
of Europe. By means of the high resolution EuroWindindex
we can furthermore offer Europe-wide a complete independent
index size for the wind derivate trade
which complies with both demands, those of the banks
as well as those of the wind farm operators.
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risk analysis performed by the EuroWind in the Northern
Egge Mountains clarifies the occurrence of heavy
variations of the average wind speed depending on
the orographic conditions. In this case important
speed differences can occur at the measuring stations
(Bad Lippspringe) and the wind farm (Altenbeken-Buke).
Especially when the measuring stations are far from
the wind farm which needs to be secured the wind
conditions at the wind farm site are only insufficiently
represented by wind measurements. With the help
of our three-dimensional flow model we are able
to calculate the wind conditions reliably even at
large distances from the measuring site. To do so,
firstly a representative wind distribution in the
height will be calculated from the ground wind statistics
for the model area. With the help of the height
wind rose and the known relation between the high
and ground winds resulting from the simulations
the corresponding ground wind distribution can be
made up for any coordinate. |
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 Concerning
the principle of wind derivates...
The
EuroWindindex being an independent revenue index size...
Risk
analysis for the wind farms...
Concerning the principle of wind derivates
Wind
derivate belongs to the family of weather derivates
which are used for the hedging of weather risks in companies.
The weather decisively influences the profit of innumerous
companies. Among them rank for example beer gardens,
leisure parks, energy suppliers and also wind farm operators.
By buying a corresponding wind derivate with a supplier,
the companies can ensure themselves against weather
risks such as for instance rain fall/snow fall/hale,
too low temperatures or too little wind.
Contrary
to commonly traded derivates at the stock exchange (Options,
Swaps)
to ensure exchange, interest or currency risks, the
wind derivates will ensure so called volume risks, i.e.
revenue and sales risks which are resulting from certain
weather conditions. Data of a measurable meteorological
size (e. g. temperature, wind) at a certain place or
an index which can be calculated from those parameters
is underlying each wind derivate. If the underlying
is concerning wind speed or wind index, it is called
a wind derivate. The owner of a wind derivate will be
paid a determined index size (strike) e. g. a certain
wind speed, a nominal amount (tick size) for each index
point falling below (refer to graph 1) if the value
falls below the predefined index size. Related to the
operation of the wind farm this way a partial transfer
of the wind risk to a contract partner (derivate supplier)
a financial hedging and a stabilization of future profits
is allowed.
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Graph
1: Long put weather option to hedge a wind
farm against revenue losses due to situations of
low wind. |
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The EuroWindindex being an independent revenue index
size
To hedge the wind farm against wind
losses detailed information about the wind conditions
at the wind farm site are required. Since independent
wind measurements for the wind farm which needs to be
hedged are generally not available, the derivate supplier
prefers to offer contracts which are based on the wind
measured data of the encasement meteorological measuring
stations (Underlying). This fact will make the purchase
of a wind derivate generally unattractive for wind farm
operators since the wind conditions at the weather station
reflect the conditions of their wind farm only insufficiently.
The general problem that an underlying in form of a
meteorological site are also the insufficient options
up to now to clearly record respectively measure such
sizes as the site if the wind farm.
The EuroWind GmbH has attended this problem and has
developed the Euro Windindex. The index distinguishes
itself by its 100 percent independency from revenue
data and measured data of commercial suppliers. The
bases for the data are exclusively wind measured data
of the international weather services such as e.g. the
Deutsch Wetterdienst (German weather service). In order
to calculate the index the wind information are transformed
to the wind farm site by our complex three dimensional
flow model. The EuroWindindex resulting hereof specially
describes the wind conditions compared to the long term
average for the wind farm site which needs to be evaluated
and which is affected by the local orographical structure.
Furthermore the Euro Windindex can be used in order
to climatologically reference the existing timely limited
wind measuring or production data of the farm. The resulting
information can in addition be statistically prepared
for the derivate trade. Due to this proceeding also
the demands of the wind farm operator can be best fulfilled
for the first time.
Due to our proceeding we can offer a complete independent
revenue index size for the wind derivate trade which
corresponds to both requirements those of the banks
as well as those of the wind farm operator at the same
time.
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Graph
2: Area distribution of the site related
Euro Windindex for an example month and in order
to calculate the used measuring stations of the
European weather service (red dots). |
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Risk analysis for wind farms
The price or the prime of a special wind derivate adapted
to the wind farm conditions is mainly depending on the
variations of the wind offer at the site which needs
to be hedged. A realistic evaluation of the risk therefore
needs to be based on long term independent data which
objectively reflect the wind conditions at the wind
farm site.
The EuroWind GmbH delivers with the help of a comprehensive
data archive the site related Euro Windindex for a long
term climatologically term. A detailed statistic evaluation
of the revenue index allows a detailed risk analysis
for any wind farm throughout the whole of Europe. Due
to the high accuracy of the wind farm specific risk
analysis the information which is required for the derivate
trade such as prime, tick size, cap or strike can be
optimally determined.
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Graph
3: Example of the statistic variation of
the site related energy revenue of a wind farm in
the northern Egge Mountains. |
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Proceeding a risk analysis
Firstly the measured wind statistic of the nearest
approved measuring station is being evaluated. Then
the wind statistic will be transformed with the help
of high resolution digital territory data of the NASA
and our three dimensional flow model to the coordinates
of the wind farm. With a correlation analysis of the
wind farm specific wind statistics with the site related
Euro Windindex the statistic uncertainty of the index
can be evaluated. If additional revenue or availability
data are available for the wind farm which needs to
be analyzed, the operating data will be climatologically
referenced. With it,it is possible to check the average
energy production indicated in the wind expertise. Furthermore
with the help of the gross farm revenue data, you can
perform additional validations of the Euro Windindex
and this way you can further reduce the statistic uncertainty.
Finally the meteorological risk analysis is being established
on the basis of the long term statistic distribution
of the Euro Windindex.
For the wind farm specific risk analysis we are using
the following data:
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Digital SRTM territory data of the NASA |
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Measured wind statistics* |
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Revenue data of the wind farm |
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Territory height of the wind farm |
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Configuration of the wind farm |
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Plant type with coordinates |
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If there are no
wind measuring available for the wind farm which
needs to be hedged an areal transferring of the
wind statistics is being performed. |
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Scope of services
of risk analysis |
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Site related statistic analysis of the energy
revenue of the wind farm |
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Average farm revenue index (EuroWindindex) |
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Maximum farm revenue index (EuroWindindex) |
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Minimum farm revenue index (EuroWindindex) |
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Standard deviation of a farm revenue index
(EuroWindindex) |
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90%, 95%, 98% percentile values |
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Correlation analysis for reference sites |
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If we have arousen
your interest, please do not hesitate to contact us.
We will be glad to explain you the specialities and
possibilities of our range of services in personal meeting.
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