Bounded volumetric uncertainty to assess market risks in energy

This paper addresses the problem of assessing the risk of a company dealing with energy markets. Because of important volumetric exposure, there is a need for a methodology to measure price risk taking into account bounded volumetric uncertainty. The originality of the approach presented lies in the use of interval analysis techniques and the notion of probabilistic uncertainty. Illustrations are provided on typical assets such as supply contracts, financial instruments and generating units.