电力企业的风险计量、预测与控制

上海交通大学硕士学位论文电力企业的风险计量、预测与控制姓名：张劲松申请学位级别：硕士专业：电力系统及其自动化指导教师：侯志俭200601011AR21MEASUREMNETFORECASTANDCONTROLOFRISKFORELECTRICITYCOMPANYABSTRACTItwasnecessaryfortheexchangeofelectricityrulestoexecutethepowermarketinchina.Thecompletedmechanismcanimprovetheefficiencyandoptimizeresourcecollocation.Atthesametime,manyuncertaintyfactorswereaccompanying,whichresultinthepricefluctuatingfrequently,andtheparticipantsmetwithhugeventure,maybeitthreatenedthesecurityoftheelectricitynet.Thecompletionstartedfromthegenerateside,andnortheasteastchinahadcompletedtotheelectricitynetforpowerinsimulation.Howtomeasureforecastandcontroltheriskintheproceedingofpricebiddingdecision-making,thesolutionwasgiven.Totheriskthatthegeneratorcompanymetinthebidding,anewmethodwasemployedtomeasurethevalueatrisk.Thismethodconsideredtheafterwardsandadvancedrisk,sothevaluecanrepresentmanyfactors.Thehistorypricedatabaseswereusedtomeasuretheafterwardsriskvalueatdifferentperiod.Theadvancedriskwasmeasuredbythepriceprobabilitydistributingatdifferentload,whichcanbeobtainedbyforecastingtheclearingprice.Finallythetotalriskvaluewasgotbyintegratingthebothvalueforthegeneratecompany.Flowingindexmethodartificialneuralnetworkgraypredictionandautoregressivemodelhadbeenintroducedtoforecasttheriskvalueforthegeneratecompany.Becausethecombinationforecastmethodwasmorepreciseandreliable,itwasappliedtoforecastthebiddingriskvalue.Howtocontroltheriskforthegeneratecompanybasedontheforecast,twocontrolmethodwascarriedoutaccordingtodifferentpropertyoftherisk.Tradecombinationmethodcanreducethenon-systemriskforthegeneratecompany,andhowtomeasuretheweighedofeachtradetotheleastriskatthecertaintyexpectedclearingprice,thepapergavetheobjectivefunction.Andthefinancialderivativeinstrumentswereappliedtoavoidthesystemrisk.2Electricityforwardcontractselectricityfuturescontractsandelectricityoptionscontractwerepresented,andfinallytheoptimalevadingratewasexplained.Finallythedatabaseobtainedfromoneshanghaigeneratecompanywasvalidatedthemethodanditshowedthattheriskmeasuredindexbasedonbiddingandriskcombinationforecastmethodwasfeasibleandeffective.KEYWORDS:PowerMarket,BiddingRisk,CombinationForecast,TradeCombination,FinancialInstrument20061162006116200611611.11.1.120801986F.C.Schweppe]1[1990199320013NETA1991---NordPool901998590FERCOder888,889,200PJM]2[1995199820011.1.219971161119982200020023[2002]52002122911112542004115-----5181.1.3,2.8(1.61.2)20044.42008,7]3[832.874%30%310]4[200275199714.7%]5[209020021.2]6[]7[]8[NETA]9[4]10[FFMPXBM]11[]12[]13[—]14[]15[]16[]17[5VaRValueatRiskVaR]18[VaRvalueatriskVaR]19[VaR2]20[]19[VaR]2221[−]23[]24[]25[]26[61.3(1)(2)(3)7(4)82.12.1.192.1.2(1)]27[ABA100%10B50%2050%B50%0]28[BA(2)102.2(1)]29[(2)(3)2005140060011359.8%48.5%37.8%21.8%49.1%42.6%]30[1-1200312]31[:1-1200312Figure1-1averagerealtimepriceofCaliforniaonDecember200313012]32[2.3]33[(1)(2)13(3)143.1]34[(1)(2)(3)(4)3.215]27[[]CT0n12nPn1P2PnPbP,bP,ξ=P-bPξjjx,jx=jP-bPξjxξ]35[+ξ−ξ+ξ=max{}0,ξ,−ξ=-min{}0,ξ(3-1)+ξ−ξξ=+ξ-−ξ|ξ|=+ξ+−ξ(3-2)+ξ−ξ+ξ−ξj+jx−jx+jx=≥000jjjxxx−jx=−≥000jjjxxx(3-3)jx=+jx-−jx|jx|=+jx+−jx(3-4)(1)16)(1pρ=∑−−011jxjxN(3-5)1N[]CT0−jx03-50(2)−ξ1−ξ01N−ξn=)(2αρnN1(3-6)2∑=−−=niixnE11)(ξ(3-7)3))(−ξD=2)]([−−−ξξEE=∑=−−niiExn12)]([1ξ)(−ξσ=)(−ξD(3-8))(−ξD)(−ξσ−ξ(3)1]27[3-53-6RR=)(1pρ=)(2αρnN1∑−−011jxjxN=∑=−niixn11(3-9)3-93-71R171R=∑=−−=niixnE11)(ξ(3-10)1R21R2R2R=1R[1+)(1−ξσk]=)(−ξE[1+)(1−ξσk](3-11))(−ξσ−ξ1k03-11)(−ξE)(−ξσ3-111)(−ξσ=01R]10[)(−ξσ0)(−ξσ)(−ξσ1R3-11)(−ξσ)(−ξD)(−ξσ−ξ1R)(−ξσ1k1k1k181k=01k=12R(4))(−ξE)(−ξσ3-11)(−ξE)(−ξσ)(−ξE)(−ξσ1P2PnPbP−ξ−jx=-min(iP-bP0)CnCCiΛ21=−ξ)(−ξE)(−ξσ1k=12R=)(−ξE[1+)(−ξσ]3.33.3.119]36[,March&Shapira]37[]34[203.3.2(1)(2)12213.3.3a.]38[]39[]40[]41[,,]42[3-1223-1Figure3-1ProbabilitydistributingofpriceDi1b.(1)1l2lml(sm)iρil=bP-iPiPbP(3-12)(2)iρ(3-11)FRFR=[1+Fk)(lσ])(lE(3-13))(lE=∑=mii1ρil,)(lσ=∑=−miiilEl12)]([ρ1l2lmlD12iN1P11ρ12ρi1ρN1ρ2P21ρ22ρi2ρN2ρsP1sρ2sρsiρsNρ∑ssiρ1111231Fk)(lσFk=1RuelfiCollins&Lacugna]42[3-123-13FR3.43.4.1(1)24(2)(3)3.4.2RR=1-α+α(3-14)2RFR3-14R=1-α2R+αFR(3-15)FRαα10≤≤αα=0α=110α,αα25,)(lE)(lσ)(lEEτEτ=[)(lE-)(lσ)(lE+)(lσ]=[)(1lE,)(2lE](3-16)03-13Rτ=['Rτ,''Rτ](3-17)'Rτ=))(1(lkFσ+)(1lE''Rτ=))(1(lkFσ+)(2lE3-16Rτd=dEτ[)(lE-d)(lσ)(lE+d)(lσ]=[)(1lEd,)(2lEd](3-18)dRτ=['dRτ,''dRτ](3-19)26'dRτ=))(1(lkFσ+)(1lEd''dRτ=))(1(lkFσ+)(2lEd3-18ddRτdRτddRτdRτ)(lσ±68.3%)(2lσ±95.45%['Rτ,''Rτ]λ/=1['Rτ,''Rτ]λ/=2)(lσ±)(2lσ±)(lσ±1d2=d,3-180)(lE-d)(lσ00)(lE/d)(lσα1d=1/4,1/2,1d=22dr3-173-19['Rτ,''Rτ]=RτdRτ,dRτdRτdRτ=['dRτ,''dRτ]3Rτα=04dRτ27α=15RτdRτα=0.5RταdRταα284.1(1)(2)(3)(4)(1)(2)(3)294.24.2.13-112R)(−ξE)(−ξσ2RtR2)(−ξE)(−ξσ3-112R4.2.23-11tR2(1)1969J.N.BatesC.W.J.Granger(2)B-G30∑=−=ntttfynJ12)(1min==∑∑==mimiiititkfkfts111,.(4-1)itfift),2,1(miΛ=tyt),,2,1(ntΛ=tfftik3]45[]43[−]46[,,4.2.3(1)3-11(2)(3)4.331AR4.3.1]47[kXXXΛ,,21ttXSα=+)1(1+)1()1(tSα−(4-2)tXα10α)1(tS)1(1+tS4-2)1(1+tS=)1(tS+α(tX-)1(tS)(4-3)=+-ttXSα=+)1(1+)1()1(tSα−)1(tS=α1−tX+)1(α−)1(1−tS)1(1−tS=α2−tX+)1(α−)1(2−tSttXSα=+)1(1+)1(α−[α1−tX+)1(α−)1(1−tS]tXα=+α)1(α−1−tX+)1(12)1(−−tSαtXα=+α)1(α−1−tX+])1([)1()1(2