| 引用本文: | 李东波,李凤婷,宋学强,张新伟,陈伟伟.促进新能源消纳的自备电厂参与替代交易风险管理研究[J].电力系统保护与控制,2019,47(11):30-36.[点击复制] |
| LI Dongbo,LI Fengting,SONG Xueqiang,ZHANG Xinwei,CHEN Weiwei.Research on risk management of participatory alternative power plants to promote new energy consumption[J].Power System Protection and Control,2019,47(11):30-36[点击复制] |
|
| 摘要: |
| 由于市场价格等因素的不确定性，自备电厂企业在参与替代交易中需要综合考虑利润和风险的均衡问题。考虑电价风险、电量风险、燃煤成本等主要风险，利用金融管理当中的效用函数和CVaR方法，建立自备电厂企业的风险评估决策模型。通过二次规划求解参与替代交易的电量在不同市场环境的最优分配系数和CVaR值。分析了决策者的不同风险厌恶度、违约行为、燃煤成本变化对交易的电量分配系数、期望利润、CVaR值的影响。研究表明，该模型能够准确反映自备电厂企业不同交易策略所带来的收益和自备电厂企业参与替代交易面临的风险大小，使交易收益最大化、风险最小化。 |
| 关键词: 自备电厂 替代交易 CVaR 风险管理 电量分配 |
| DOI：10.7667/PSPC20191105 |
| 投稿时间：2018-07-05修订日期：2018-10-19 |
| 基金项目:新疆科技支疆项目资助(2017E0277) |
|
| Research on risk management of participatory alternative power plants to promote new energy consumption |
| LI Dongbo,LI Fengting,SONG Xueqiang,ZHANG Xinwei,CHEN Weiwei |
| (School of Electrical Engineering, Xinjiang University, Urumqi 830047, China;Xinjiang Electric Power Trading Center Co., Ltd., Urumqi 830002, China;Economics and Technology Research Institute, State Grid Xinjiang Electric Power Company, Urumqi 830047, China) |
| Abstract: |
| Due to the uncertainty of factors such as market price, self-provided power plant enterprises need to consider the balance of profit and risk in participating in alternative transactions. This paper considers the main risks such as electricity price risk, electricity risk and coal burning cost, and uses the utility function and CVaR method in financial management to establish a risk assessment decision model for self-sufficient power plant enterprises. Through the quadratic programming, the optimal partition coefficient and CVaR value of the electricity participating in the alternative transaction in different market environments are solved. The influences of different risk aversion, default behavior, coal cost changes on the electricity distribution coefficient, expected profit and CVaR value of the decision makers are analyzed. The research shows that the model can accurately reflect the benefits brought by different trading strategies of captive power plant enterprises and the risk of self-sufficient power plant enterprises participating in alternative transactions, so as to maximize the return of transactions and minimize risks. This work is supported by Xinjiang Science and Technology Support Project (No. 2017E0277). |
| Key words: self-supplied power plant alternative transaction CVaR risk management electricity distribution |
