摘要
评估因径流和电价的不确定性带来的风险,是水电厂在参与电力市场竞争必须考虑的一个重要问题。考虑影响水电厂收益的各种风险,主要包括水电厂参与竞价的电价风险和由于季节等因素引起的电量不确定性风险及它们之间的相关性,提出了计算电力市场VaR的方差-协方差参数法模型并结合具体实例对水电厂的收益进行了短期金融风险评估。分析结果表明,方差-协方差参数法能较好预测第二天竞价机组的清除电价,为水电厂更准确地降低收益风险值打好基础。
It is important for hydropower plants to assess the risk from the uncertainty of inflow and power price in the electricity market.Considering electricity price risk caused by bidding price and energy-uncertainty risk caused by season factors that influence the profit of hydropower plants and their pertinence,this paper puts forword variance-covariance parameter approach of value at risk（VaR） combining the concrete example to assess the short-term financial risk for income of the certain hydropower plants.The analysis shows that variance-covariance parameter approach can forecast precisely clearing price of bidding units the day after to lay a good foundation for decline return risk of hydropower plants.
出处
《电力系统保护与控制》
EI
CSCD
北大核心
2010年第14期12-15,27,共5页
Power System Protection and Control
关键词
电力市场
水电厂
电价风险
电量不确定性风险
风险价值
方差-协方差参数法
electricity market
hydropower plants
electricity price risk
energy-uncertainty risk
value at risk
variance-covariance parameter approach
