极端天气场景下基于天气衍生品的电价风险管理  

Research on Weather Derivatives-based Electricity Price Risk Management Under Extreme Weather Scenarios

作　　者：吴忠群[1,2] 郑瑞锦 徐飞阳 黄韧 董福贵[1] 杨婵 冯潇颍 WU Zhongqun;ZHENG Ruijin;XU Feiyang;HUANG Ren;DONG Fugui;YANG Chan;FENG Xiaoying(School of Economics and Management,North China Electric Power University,Changping District,Beijing 102206,China;Institute of Banking and Finance,North China Electric Power University,Changping District,Beijing 102206,China;North China Branch of State Grid Corporation of China,Xicheng District,Beijing 100053,China;School of Electrical and Electronic Engineering,North China Electric Power University,Changping District,Beijing 102206,China)

机构地区：[1]华北电力大学经济与管理学院,北京市昌平区102206 [2]华北电力大学金融研究所,北京市昌平区102206 [3]国家电网有限公司华北分部,北京市西城区100053 [4]华北电力大学电气与电子工程学院,北京市昌平区102206

出　　处：《全球能源互联网》2024年第1期66-78,共13页Journal of Global Energy Interconnection

基　　金：国家社会科学基金项目(19BJY074)。

摘　　要：极端天气会导致线路跳闸,发电能力损失,负荷激增。市场环境下用户将承受高昂电价冲击,危及社会稳定。此时抑制电价飙升,管理电价风险十分重要。为此,设计了一种基于电价和发电损失容量的电力天气衍生品,可有效管理电价风险。首先,依据风险分解结构原理从源网荷及发电商报价角度分析了极端天气对电价的影响。其次,设计了考虑电价、天气为执行条件和基于损失容量与电价为收益函数的天气衍生品,并从理论层面分析了其效果。最后,结合预期效用最大化目标和电力市场出清模型进行发电商决策与电价模拟,使用条件风险价值(CVaR)指标评估了电价风险及衍生品效果。结果显示,所提电力天气衍生品使极端天气对发电商收入的冲击降低80%以上,用户电价均值降低约0.2%,用户电价风险降低20%以上,说明可有效控制电价风险,助力电力市场建设以及新型电力系统构建。Extreme weather can lead to line tripping,loss of generating capacity and load surges.Under the market environment,users will bear the impact of high electricity prices,endangering social stability.It is important to curb tariff spikes and manage tariff risk at this time.To this end,a power weather derivative based on electricity prices and generation loss capacity has been designed that can effectively manage electricity price risk.Firstly,based on the principle of risk decomposition structure,the impact of extreme weather on electricity prices is analyzed in terms of source,network,load,and generator bid.Secondly,a weather derivative considering electricity prices,weather as an execution condition and a return function based on lost capacity and electricity prices is designed and its effects are theoretically analyzed.Finally,combined with the expected utility maximization objective and the electricity market clearing model,the power producer decision and price simulation are carried out,and electricity price risk and derivative effects are assessed using the conditional value-at-risk(CVaR)metric.The results show that the proposed power weather derivatives can reduce the impact of extreme weather on the revenue of power generators by more than 80%,the average price of user electricity by about 0.2%,and the risk of user electricity price by more than 20%,which can effectively control the price risk and help the construction of power market and new power system.

关 键 词：极端天气 天气衍生品 电价风险 电力市场 发电商报价 

分 类 号：F830.9[经济管理—金融学] F426[电气工程] TM-9