基于CVaR方法的风力发电项目投资风险度量

风力发电项目具备较为独立的特点,将CVaR方法引入风力发电项目的投资风险度量,不仅可以全面衡量技术风险、经济风险、政策风险等相关风险因素,同时可以最大限度地考虑投资者的损失承受底线。借助蒙特卡洛方法模拟风力发电的上网电量,很好地计量了风力发电的不确定性所带来的风险。以内蒙古地区某一风力发电项目为实例,分别计算了其VaR值和CVaR值。计算结果表明,CVaR方法能够更加谨慎有效地估计风力发电项目投资者的潜在损失。文章进一步研究了贴现率和电价等风险因素对风力发电项目整体风险的影响,认为较低的贴现率和较高的电价水平能够帮助投资者很好地规避投资风险。

Investment risk measurement model of wind power projects based on CVaR

Wind power project has its own characteristics and uses an investment risk measurement model based on CVaR can estimate those factors of wind power projects.The technical risk,economic risk and policy risk are considered as well as the financial capacity of the investor.To measure the risk related to wind power uncertainty,the Monte Carlo method is used to simulate the electricity to access grid in this model.The proposed approach is applied based on a realistic case study,the wind farm in the Inner Mongolia.The result shows that CVaR is feasible and effective to measure investment risk of wind power projects.The influence on the overall risk of discount rate and electricity price are also studyedstudied,and high low discount rate and low high electricity price are help to reduce the risk lelvellevel of wind power projects.