V.C. (Cristian) Stet MSc

Cristian Stet
Erasmus School of Economics (ESE)
Erasmus University Rotterdam
ERIM PhD Candidate
Field: Finance & Accounting
Affiliated since 2017

PhD Track Fundamental Valuation of Flexibility of Electricity Systems

Electricity markets represent a special category in the financial markets. Their peculiarity lays in the fact that these markets exhibit a non-normal price distribution, with heavy tails and mean reverting pattern. These particularities are caused mainly by the fact that electricity is not perfectly storable in an efficient way. Therefore, at all times, the electricity produced has to be consumed too. This aspect, combined with a very inelastic and not perfectly predictable demand, creates high needs for flexibility in the power systems. On top of that, electricity markets have experienced important structural changes over the past few decades. During this period of time, many countries liberalized their electricity sector and set the path to the creation of competitive power markets. On top of that, these markets changed because of the ever increasing share of intermittent renewable energy generation (wind and solar) in the power generation mix. The shift towards more intermittent power generates additional imbalances in the power supply, imbalances that put more pressure on the flexibility of each electricity market. The flexibility issue is becoming a central problems both for policy makers and managers in the field and these leads to a growing research field in the energy economics.

Through this PhD research program I aim to investigate how these imbalances are impacting the price flexibility of power markets, what are the characteristics of a (in)flexible electricity market and how can we measure flexibility. Answering these questions will allow policy makers to design more flexible power systems and energy managers to better assess their risks within the electricity markets. To shed more light over this topic, four separate studies will be realized. The first study (already finished) investigates the impact of solar and wind power output on the extreme electricity prices in the German day-ahead market. The second study will analyse the differences between the expected risk premiums in the German day-ahead market and the risk premiums in the intraday markets. In the third study I will broaden the scope of the research and compare the flexibility needs among various international markets. The aim of the fourth is to create a function that can measure the flexibility of any given power system based on its fundamentals (demand and supply mix).

Flexibility, power systems, extreme electricity prices, intermittency, energy policies, energy economics, fundamentals of electricity markets, risk measurement
Time frame
2017 -


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