促进新能源消纳的自备电厂参与替代交易风险管理研究  

Research on risk management of participatory alternative power plants to promote new energy consumption

作　　者：李东波 李凤婷[1] 宋学强 张新伟 陈伟伟 LI Dongbo;LI Fengting;SONG Xueqiang;ZHANG Xinwei;CHEN Weiwei(School of Electrical Engineering, Xinjiang University, Urumqi 830047, China;Xinjiang Electric PowerTrading Center Co., Ltd., Urumqi 830002, China;Economics and Technology Research Institute,State Grid Xinjiang Electric Power Company, Urumqi 830047, China)

机构地区：[1]新疆大学电气工程学院,新疆乌鲁木齐830047 [2]新疆电力交易中心有限公司,新疆乌鲁木齐830002 [3]国网新疆电力有限公司经济技术研究院,新疆乌鲁木齐830047

出　　处：《电力系统保护与控制》2019年第11期30-36,共7页Power System Protection and Control

基　　金：新疆科技支疆项目资助(2017E0277)~~

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。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.

关 键 词：自备电厂 替代交易 CVAR 风险管理 电量分配 

分 类 号：F426.61[经济管理—产业经济]