Measuring the risk exposure of TSOs on the dispatching market is a crucial task for the correct management of liberalized electricity markets. To fill a gap in the literature, the notion of Cost-at-Risk (CaR) is defined in the context of the dispatching market. Moreover, we propose a set of semi-parametric and non-parametric models for the estimation of the Cost at Risk (CaR) for the Italian TSO (Terna) and evaluate the corresponding out-of-sample forecasting performance. The empirical analysis relies on a rich hourly dataset provided by Terna, including several costs’ drivers. The results, in terms of 1-day and 30-day ahead predictions, suggest that the model with the globally best performance is the semi-parametric GAM-GARCH model.

衡量输电系统运营商在调度市场上的风险敞口是正确管理自由化电力市场的一项关键任务。为了填补文献中的空白，在调度市场的背景下定义了风险成本 (CaR) 的概念。此外，我们提出了一组半参数和非参数模型来估计意大利 TSO (Terna) 的风险成本 (CaR)，并评估相应的样本外预测性能。实证分析依赖于 Terna 提供的丰富的每小时数据集，包括几个成本驱动因素。就 1 天和 30 天的提前预测而言，结果表明具有全局最佳性能的模型是半参数 GAM-GARCH 模型。