The time scale $d$ for risk measures; it is common to use a single value (typically a day or a week),
but risk measures over different time horizons might also be of interest.

On average, each resource provides 9 kW of upward and downward flexibility, subject to the condition:

$$∑↙{τ}↖{day} F_τ=0,$$
where:

- $F_τ$ — flexibility (in MWh/15min).

The retailer's average daily trading volume on the imbalance and intraday markets.

Risk quantile for risk measures. It is common to use a single value of $α = 5\%$,
but it is possible to measure risk for other values without adding computational complexity.

Risk-free interest rate (per annum) $i$ used for discounting loss values when calculating net loss over a period of time $d$.

Actual loss on volumes traded on the imbalance and intraday markets, according to:

$$(P_m-P_r)×Q,$$
where:

- $P_m$ — weighted average imbalance and intraday price (in €/MWh),
- $P_r$ — average retail price (in €/MWh),
- $Q$ — trading volume (in MWh).

Opportunity loss on volumes traded on the imbalance and intraday markets, according to:

$$(P_m-P_d)×Q,$$
where:

- $P_m$ — weighted average imbalance and intraday price (in €/MWh),
- $P_d$ — average day-ahead price (in €/MWh),
- $Q$ — trading volume (in MWh).

Actual profit on volumes traded on the imbalance and intraday markets, according to:

$$(P_r-P_m)×Q,$$
where:

- $P_m$ — weighted average imbalance and intraday price (in €/MWh),
- $P_r$ — average retail price (in €/MWh),
- $Q$ — trading volume (in MWh).

Opportunity profit on volumes traded on the imbalance and intraday markets, according to:

$$(P_d-P_m)×Q,$$
where:

- $P_m$ — weighted average imbalance and intraday price (in €/MWh),
- $P_d$ — average day-ahead price (in €/MWh),
- $Q$ — trading volume (in MWh).