流域水电公司在区域电力市场不同阶段的风险管理策略

上海交通大学硕士学位论文流域水电公司在区域电力市场不同阶段的风险管理策略姓名：胥德武申请学位级别：硕士专业：电气工程指导教师：刘东;陶卫国200608016[l1]VaR78RiskManagementStrategyofAreabasedHydropowerCompanyinDeferentPhasesofRegionalPowerMarketAbstractRegionalelectricitymarketistheelectricitymarket’sdevelopingtrend,andeverystagehasitscharacteristic.Itisalong-termmarketplanninggoaltobuildelectricityfuturesmarketonthebasisofmaturespotmarkets.Ourcountrypolicyencouragesdevelopinghydroelectricpowerfirstlyandthetrendistodevelopcascadedbasinhydropowercompaniesonthelarge/middlerivers.Thesecompanieshavedifferentriskmanagementstrategiesduringdifferentstagesofregionalelectricitymarket.Byanalyzingthefeaturesofregionalelectricitymarketplanningandbasinhydroelectricitycompanies,itsummarizestheriskmanagementofbasinhydroelectricitycompaniesduringtheinitialandmediumstageofthemarketandproposesrisk-avoidingstrategiesaccordingly.9Itdescribestheelectricityfuturestheories.Comparingtooverseaselectricityfuturesmarket,itpresentsfutures-basedelectricitytransactionmodel.ItintroducestheVaRmethodbasedonequilibriumtoriskmanagementofelectricpowermarket.Theresearchshowsthatontheconditionofadoptingelectricityfuturestransactionmodel,introducingriskmanagementoffinancialmarketisanimportantcompetitionstrategyofhydroelectricitycompaniesinfuture’sregionalelectricitymarket.KeywordregionalelectricitymarketAreabasedHydropowerelectricityfuturesriskmanagement20068132006813200681311.11.1.1200411512231.1.220047303308642%421758%11234567891023123431.2-[l1][l2][l3][1][2][3][4][5][6][7]4[9][10]1.352.1[19],,,6]))(2/1([21222)()(µσπσ−−=Φ=xexxf2-12.2[19]IEEE(theproductofprobabilityandconsequence)()():7(1)(2)[l4]2.3[8](ValueAtRiskVAR)1994VARVARVAR:VaR2-18cVaR1-cVaRCVaRPPprob−=∆1)(2-23-1probPPtVaRcVAR:(1)VARVAR(2)VAR(P&L)(3)VAR(4)VAR3125095%25095%VaR-2.4VaR[14]2.4.11VaR100095%5029250kitinikPRwR∑==1k=1,,t2-32-2kkiikiSSS∆+=0i=1,,N2-42VaRVaR,1042.4.21),(ikSVVk∗∗=VaRi2-3/112VaR32.4.320044120041231051015202530-47-40-33-26-19-12-529162330372-497%1395%1190%1033203%225%2310%95%122.513[l5]3.1198530%23.6%3.1.1EFEIFE,141,,,,,,,,GDP2000GDP7%,,,GDP200020021,,3,60008000,30002005,4.3,,2005,,20100.85,20151,2010,,,,1000,2216,,,,215,3.781920068%16%6.8%2001827012.23%25%32000200371525003015%1643.1.23.23.2.1(1);(2);(3)(4);(5);(6);(7);(8);(9)173.2.2200311[2003]10521157113.6383012.531801910/60221285615162.211688km10325kW182268km2002300kW150kW230kW170kW220kW106kW61176kW20053412km930m360kW480kW180kW330kW60kW51410kW1999199219963(1996)20032020151191999520032201514503604802162406011201140200520122007201220142007201120122012201320072012201320031220047200421997199420199832200300kW150kW230kW170kW220kW106kW61176kW300120.3m374.9m380020092011201820194202526002120303.311.411.3111.411.31:A.:1234567891011122210411411898982483063223213051841151381521641651692242753193202821841423338466771-24-31-2-2-230273-1:AKWKWHKWHKWH%%109.5170.2109.760.664.435.6149.8184.8103.781.256.143.940.314.6-620.636.88.6-5.534.03-2:A(1115,53750%102,35744%4,0792%2106,84546%35,5582%44,2092%5232,149100%3-33.43.4.1231[2],,∑==NOMKCTPP)(3-1)()(KGGMGkkcMCMQCQpppQP−+−=3-2MPMMCQMcpMGQMcpmpM{})(varminCTP3-32{})(varminCTP∑==NOMKCTPP)(3-4MrrMGkkcMCMCpQpppQP++−=)(3-5kpkpkpkkkppp∆+=3-6ttkppσεα+∆=∆−13-7[3]α1σ242MN31A2:A2∑==NOMKCTPP)(3-8)()(MGGMrrMGkkcMCMQCCpQpppQP−++−=3-93.4.2IPP25IPPIPPIPPIPPworkflow(1)MCP(2)26()(),=/=/==()McceMGpRQp=+3-10cGcpQepR1≈R0=QccpGM=27cceGMQpRpQpQ=+=3-11p1ceppRpS=+3-12cGQS=SSDCepcGQ24)(Qpe28PABAGC()()1nbbaaekMGpGkpkRQp==++∑3-13bGbp)(kGa)(kpakccabcaGGaGGG+−=+=)1(,∑==nkaakGG1)(aa−110≤≤a1aQbQaQbaQQQ=+ap()()()1cbcabaeMGpGpRQQpQQpαα=−+++=3-14()1baepppRpQSSαα−=++3-15cG)(Qpe29)(QpRQpaGeaac+apaG)(aaGpbappa3.51+80%=+=++30260.356500,0000.35/0.30/250000.4025000-∑==NOKKCTPP)(3-16KRrKGGKGkkcKCKQpQCQpppQP+−+−=)()(3-17cPkKCQkcpcpKGQkkpKrpKRQGCKGQ∑==NOKKCTPP)(3-18KGkkcKCKQpppQP+−=)(3-1931}{min)(CTPVar3-20cp}{minkpVar11201112-3.6324.14.1.1tttppp∆+=(4-1)tttppσεα+∆=∆−1(4-2)σαttpp∆4.1.2,.,().,33Black-Scholes(Weiner)),(~ttss∆∆∆σµφ(4-3)SS∆t∆Sµσ),(tt∆∆σµφt∆µt∆σPdzPdtdPσµ+=(4-4)Black-Scholes4.1.3344.1.41dzdtpdpσµ+=/[l6]4-52dzdtppdpσµα+−=)ln(/4-6ασ3dqdzdtpdpκσµα++−=)ln(4-7k[l7]4ptptpt∆+=4-8tppttσεα+∆=∆−14-9µασ4.2.)(),(),()(tdzeTtFTtdFtT−−=ασ4-1035TttPασ4.34.3.14.3.21236()4.3.34.44.4.1374.4.238EFP4.4.314block4117414524-75345824211112PJMPJM1000137000NYMEXPJMEFPPJM1671139=2.5MWh16200712.5*16*22=880MWH.**-2007122130212007220227312007322329422007421427512007522530612007621628724-14.4.414023[1]5-24-2jijijimjnixsc)(max11−∑∑==4-1141iPxtsjjini∀≤∑=max,1..4-12iPxjjini∀≥∑=min,14-13jiyxiji∀≥≥0,04-14mnjPjmax,jPjmin,idjjicjijixijsjiji23442ABCD434.5445.15.1.11170.35-0.45/70.48/0.42/0.41/200.38-0.47/0.500.45/0.44/200.40-0.49/0.520.48/0.46/5.1.2451172570.5/0.40/20570.4525000.3525005.1.35.25.2.1211)()(CCppQPQpQRPnmfCCggK−−−++=∑5-1RgQ46gpcQCPfQmpnp1C2C5.2.21231-184474849[1]200328-12[2]200156-1050[3]2001414-19[4]2004124-7[5]23431-37[6]FGR2001916-20[7]2004121-4[8]2004953-57[9]BjorganR,LluCC,Lawrreej.FinancialRiskManagementinaCompetitiveElectricityMarketIEEETransonPowersystem,1999,14(4):1285-1291[10]SiddiqiSN,ProjectVal