Research On Application Of CVaR In Risk Management Under Electrical Market

The differences between electrical power and ordinary commodities are that it can not store effectively and need instantaneous balance between the supply and the demand. So the equilibrium prices in power market are strongly volatile. The volatility of price makes the participators face huge risks and so more and more participators recognize the importance of risk management. Various risk management tools and methods are adopted to avoid or control risk.In this paper, Conditional Value-at–Risk (CVaR), a new risk measure tool, is introduced. At the same time, modern portfolio theory and chance-constrained programming method are presented to research the risk management problem of power supplying company. Based on pool trade model, the main work and the key contributions of this dissertation are as follows:Firstly, a new risk measure and management tool is introduced. CVaR is a new risk measure tool and it has goods mathematics characteristics, such as consistent measure, not depending on the normal distribution of portfolio profit, et al. Due to the mean-profit, volatility, jumping and periodicity of power price, it is of momentous current significance to introduce CVaR to risk assessment and risk management of power market.Secondly, based on modern portfolio theory and CVaR, an energy purchasing model is built among real-time market, day-ahead market and contract market, which can supply a reference to power supplying company who purchase energy among different markets and assess purchasing risks. The research emphesis is focused on purchasing account in various markets, portfolio profits and risk values under different risk levels. This model can be converted to a linear programming problem to solve and so it can avoid the complex and non convergence of other models. An example is used to illustrate the validity of the proposed model. It shows that forward contracts can be used by power supplying company to hedge risks, at the same time the expected profit is reduced. It also shows that CVaR can reflect really the risk faced by power supplying company,and who has different profits with different confidence levels.Thirdly, accounting for options, a power purchasing model is introduced. Electric options have more flexibility than forward contracts and futures. Since the purchasing cost for options is not continuous with the day-ahead price, it is different to obtain a maximum profit of a portfolio analytically. But it can be changed to a linear model due to the introduction of CVaR. Based on this, an energy purchasing model is presented among contract market , day-ahead market and options market, and the research focus is put on the effects of options,option price and strike price on power portfolio profit and risk value. A numerical example has demonstrated that electrical options can reduce risks of portfolio effectively, and the price and strike price of options have obvious effects on the portfolio, too. It can not only avoid risks from high price but also get return from low price to use electrical options appropriately.Fourthly, Chance-constraint programming is aimed at the case which has a subject with stochastic variable, but the decision must be made before the stochastic variable can be observed. Similarly, power supplying company can not forecast the variation of electric load and energy price when it signs an interruptible load contract with customer. Based on chance-constraint programming, this dissertation presents a risk analyzing and pricing model of interruptible load for power supplying company. The model has a object of maximum expected profit and is subjected to risk, interruptible account and interruptible price, et, al. Genetic Algorithm based on Monte carlo random simulation is used to solve this problem. The result has shown that the less profit of power supplying company from interruptible load with the increasing of risk aversion level, and that agrees with the rules: higher profit accompanied by higher risk. At the same time, customers'profits have obvious difference due to variant interruptible price and interruptible amount, more profits with more interruptible amounts.Finally, Interruptible load plays a more and more important roles in peak load shaving, reserving market, congestion management and et, al. This dissertation looks different consumers as sub-markets with different risks and profits, and based on modern portfolio theory, a risk analyzing and pricing model of interruptible load for power supplying company is built, which can help power supplying company to choose interruptible scheme. Compared to chance-constraint programming model, this model can not only consider various indeterminacies under electric market and the preference of power supplying company, it can also give a specific risk value with VaR (Value at Risk) and CVaR. This helps power supplying company to compare visually risks of different decisive schemes.