基于CVaR风险计量指标的发电商投标组合策略及模型

电力市场中各类市场具有不同的价格波动特性和收益率随机变化特性。为了保证年度收益最大且风险最低,发电商需在各个市场上合理分配参与竞价的电量。借鉴金融领域风险管理的理论,以条件风险价值(CVaR)为风险计量指标,综合考虑风险和期望收益率,建立了新的发电商均值-CVaR投标组合优化模型。应用该模型,对发电商在年度合约市场、月度合约市场、日前市场和实时市场4个市场总电量的分配比例和有效前沿进行了计算。计算结果表明,所提出的模型能较真实地反映发电商所面临的市场风险的本质特征,可使发电商在保证一定期望收益率的前提下承担最小的CVaR风险,从而为发电商的投标决策与风险评估提供了新的思路。

Combined Bidding Strategy and Model for Power Suppliers Based on CVaR Risk Measurement Techniques

In electricity market, the different markets have different price fluctuation and stochastic changing characteristics of revenue rate. To obtain the maximum annual profits and the minimum risk value, the power suppliers should allocate the bidding electricity to each market reasonably. Using the risk management theory in financial research field for reference, taking the conditional value at risk (CVaR) as risk measurement index, a novel Mean-CVaR optimal combined bidding model is built by considering the risk and expected revenue rate synthetically. Based on the proposed model, the efficient frontier and the electricity allocation ratio for the power suppliers in four markets, such as annual contract market, monthly contract market, day-ahead market and spot market are calculated. The calculation results show that the proposed model can truly reflect the essential characters of the market risk facing the power suppliers and guarantee the power suppliers to obtain the expected profits at the minimum CVaR risk level. So it provides the power suppliers a new way for bidding decision-making and risk valuation.