电力市场下长期购电方案及风险评估

Long-term Electricity Purchasing Scheme and Risk Assessment in Power Markets

系统研究了购电商(Electricity Purchaser,EP)的购电分配及风险评估问题。通过分析电力市场中EP长期购电特点,按照现代投资组合理论建立购电组合问题的一般模型,并对目前普遍存在的长期合同和现货2市场间的购电分配问题进行具体分析,探寻长期合同价格、合同电量与现货市场价格之间的关系。进一步考虑EP的风险偏好时,采用金融领域广泛采用的效用函数和Value-at-Risk(VaR)方法建立了确定最佳组合方案和定量评估风险的模型。最后,针对高峰和低谷分开竞争的市场运营模式,确定EP的购电组合并进行风险评估,并用算例进行定量验证。文章旨在建立购电组合和风险评估的方法论。

This paper researches electricity purchasing strategy and risk assessment for Electricity Purchaser（EP）. Through analyzing the characteristics involving in EP＇s long-term electricity purchasing problem, a general model based on modem portfolio theory is presented. Detail discussions are focused on electricity purchasing portfolio selection on two commonly existing markets： long-term contract and spot market, in order for discovering the relationship between long-term contract price, contract amount with spot price. When the EP＇s attitude toward risk is taken into account, the utility function and Value-at-Risk approach commonly used in financial engineering, is applied to determine the allocation portfolio and assess the purchasing portfolio＇s risk. Finally, according to the separated bidding mode of on peak and off-peak, the simulations are made for selecting purchasing portfolio and assessing the risk of the portfolio. The results show that the research provides a systematic approach on electricity purchasing selection and risk assessment.