Renewable Energy Power Purchase Agreements (RE PPAs) are considered to be a key tool in order to foster RE deployment, as they allow for the reduction of uncertainty for all parties as well as facilitating access to the long term finance required for such projects. Nevertheless, RE PPA adoption is hampered by a number of barriers, including the high level of guarantees demanded from offtakers, a problem which is related to the shortcomings of existing assessment methodologies, in particular, determining the credit risk of the PPA itself. In this work, we propose an RE PPA assessment model focused on the main drivers of value and risk for the offtaker which are cost and volatility reductions, compared to the electricity market. By identifying and valuing the options for the offtaker embedded in the PPA, it is possible to determine the default probability at any given time and the expected loss for the producer, thus allowing for the estimation of the amount of guarantees needed to hedge the credit risk.

中文翻译：

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评估可再生 PPA 的价值和风险


可再生能源购电协议 （RE PPA） 被认为是促进可再生能源部署的关键工具，因为它们可以减少各方的不确定性，并促进获得此类项目所需的长期融资。然而，RE PPA 的采用受到许多障碍的阻碍，包括要求承购商提供高水平的担保，这一问题与现有评估方法的缺陷有关，特别是确定 PPA 本身的信用风险。在这项工作中，我们提出了一个 RE PPA 评估模型，重点关注承购商价值和风险的主要驱动因素，即与电力市场相比，成本和波动性降低。通过识别和评估 PPA 中嵌入的承购商的选择，可以确定任何给定时间的违约概率和生产商的预期损失，从而可以估计对冲信用风险所需的担保金额。