Effect of Imbalance Settlement Design on Risk-Averse Aggregator Scheduling: A CVaR-Based Parametric Study

Electricity market settlement rules shape the financial exposure of energy aggregators when generation deviates from contracted positions, yet their interaction with Conditional-Value-at-Risk (CVaR) based risk aversion in aggregator scheduling remains unexplored. This paper studies how imbalance penalty design shapes the risk–return tradeoff in a stochastic unit commitment framework for a network-constrained aggregator with a diversified generation portfolio. Five settlement regimes are compared, spanning liberal, baseline, and strict penalty levels together with two zero-contract regimes that settle all exchange as imbalance. The risk-aversion weight is swept at a fixed confidence level on a modified IEEE 9-bus system using 200 stochastic scenarios, complemented by a continuous penalty-multiplier sweep. Stricter settlement disproportionately increases tail-risk exposure at the risk-neutral baseline, with the excess tail-risk ratio rising from 49% under liberal to 89% under strict penalties. Risk weighting reduces CVaR by 1.5–7.1% for an expected-profit sacrifice of at most 1.2%, with the largest absolute reductions where baseline tail risk is highest. Battery storage throughput falls by 22–35 MWh/day under market-participatory regimes but changes by less than 5 MWh/day once the contracted position is removed, becoming effectively invariant to the risk weight. The results give quantitative guidance on how settlement regime should inform aggregator risk management.