基于柔性监管策略的电力市场履约风险改进COPOD识别方法  

Improved COPOD Identification Method for Performance Risk in Electricity Market Considering Flexible Regulatory Strategy

作　　者：郑伟 田琳 黄远明 林少华 盛剑胜 孔淑琴 ZHENG Wei;TIAN Lin;HUANG Yuanming;LIN Shaohua

机构地区：[1]广东电力交易中心有限责任公司

出　　处：《价格理论与实践》2023年第5期59-64,208,共7页Price:Theory & Practice

基　　金：南方电网公司科技项目资助(项目编号:GDKJXM20210110)。

摘　　要：在新型电力市场建设过程中,市场经营主体结构的变化将导致利益调整和市场竞争的加剧。因此,加强对异常市场经营主体的识别与电力市场履约担保机制的研究具有重要意义。根据履约风险的一系列特点,并考虑到柔性监管策略,本文提出了基于改进COPOD电力市场履约风险的智能识别方法。首先,从偿债能力、履约状况、市场效益和历史信用等方面构建履约风险识别指标体系;其次,对指标体系中的成本型、效益型和区间型三类指标,通过改进COPOD方法分别得到三类指标的右尾概率、左尾概率和基于中位数修正偏度的双侧概率的Copula异常分值;最后,结合柔性监管策略确定履约异常主体。算例结果充分体现了考虑监管策略的改进COPOD方法对履约异常结果全面客观的解释,表明履约风险识别结果的合理性和有效性,进而有助于对履约风险进行动态跟踪和有效管控。In the process of constructing a new electricity market,changes in the structure of market entities will lead to adjustments in interests and intensified market competition.Therefore,it is of great significance to strengthen the identification of abnormal market entities and the study of electricity market performance guarantee mechanisms.Based on a series of characteristics of performance risk and considering flexible regulatory strategies,this paper proposes an intelligent identification method for performance risk in the electricity market based on an improved COPOD approach.Firstly,a performance risk identification index system is constructed from the aspects of debt-paying ability,performance status,market efficiency,and historical credit.Secondly,for the three types of indicators in the index system(cost-based,benefit-based,and interval-based),the right-tail probability,left-tail probability,and Copula abnormal score based on median corrected skewness are obtained using the improved COPOD method.Finally,combining with flexible regulatory strategies,the abnormal performance entities are determined.The case study results fully demonstrate the comprehensive and objective interpretation of the improved COPOD method considering regulatory strategies for abnormal performance,indicating the rationality and effectiveness of the performance risk identification results,which further contribute to the dynamic tracking and effective control of performance risk.

关 键 词：履约风险 COPOD 电力市场 柔性监管策略 

分 类 号：F426.61[经济管理—产业经济]