售电侧放开环境下的电力市场压力测试分析  

Stress Testing on Electricity Market With Retail Transactions Opened

作　　者：孔祥瑞[1] 李鹏 严正[1] 田春筝[2] 王璟[2] 宋依群[1] 韩冬[1] 

机构地区：[1]电力传输与功率变换控制教育部重点实验室(上海交通大学电气工程系),上海市闵行区200240 [2]国网河南省电力公司经济技术研究院,河南省郑州市450052

出　　处：《电网技术》2016年第11期3279-3286,共8页Power System Technology

基　　金：国家电网公司科技项目(5217L01400GG)~~

摘　　要：鉴于常规风险评估对极端事件发生的可能性估计不充分,近年来压力测试在金融危机等极端环境风险度量中表现出的优良特性,使其在现代银行风险评估中扮演着越来越重要的角色,成为Va R等传统工具的重要补充。将金融领域压力测试方法应用于电力领域,以《关于进一步深化电力体制改革的若干意见(中发[2015]9号)》及其配套框架为边界条件,针对我国未来电力市场中潜在的经济性风险以及安全性风险,开展了包含敏感性分析与情景分析在内的压力测试。通过敏感性压力测试筛选出关键风险指标,在此基础上,通过情景分析研究关键压力因子对各承压变量的综合影响,以及极端情况下的具体影响程度。算例分析表明,压力测试方法能够直观反映未来电力市场中风险的暴露程度,能够作为电力体制改革中风险过程控制的有效工具。In view of insufficiency of routine risk assessment to extreme events, stress testing plays a very significant role in modern bank risk management, especially for risk measurement at extreme situations, as an important supplement to traditional model such as Va R（Value at Risk）. This paper applies stress testing tool in financial field to electricity field for the first time. As for economic and security risks in Chinas electricity market with retail transactions opened, stress testing is conducted, including sensitivity analysis and scenario analysis. Based on key indices obtained from sensitivity analysis, comprehensive influence at extreme situations on target indices is shown with scenario analysis. An example illustrates that stress testing is able to directly indicate risk exposure degree in electricity market in future, and can be used as an effective tool for risk control in power system reform process.

关 键 词：电力市场 压力测试 售电侧放开 经济性风险 安全性风险 敏感性分析 情景分析 

分 类 号：TF73[冶金工程—钢铁冶金]