Assessing And Hedging Of Engineering And Financial Risk Under Electricity Markets

It is of great value to introduce the risk theory into the field of power industry to solve the new problems in competitive electricity market and guarantee security operation of power system. In this thesis, assessing and hedging of both engineering and financial risk under electricity market environment are studied. The main content is listed as follows:(1)The method and model for risk assessment of oscillatory instability are presented, which is applied to an actual large-scale interconnected-grid in China. It is proved that for large-scale interconnected grids that have more than one sending-end, coordination of power transfer on tie-lines can reduce oscillatory instability risk. Moreover, by widely configuring Power System Stabilizers(PSSs) and applying HVDC modulation, the oscillatory instability risk of inter-area modes can be obviously reduced.(2)The method and model for risk assessment of transient voltage instability are presented. The proposed theory is applied to an actual grid and a risk based method determining SVC investment is proposed. Simulation results show that there is a dividing point of SVC investment when under voltage load-shedding (UVLS) scheme is fixed; and the dividing point changes as UVLS scheme changes, thus it is necessary to carry out joint optimization of UVLS and dynamic reactive power compensation schemes.(3)The combined assessment model and hedging strategy for engineering and financial risk are proposed, which provide a quantitative basis for pondering over various hedging measures and comparing their effects. From a physical perspective, reserve capacity is used as the hedging strategy for generation companies. Canadian Alberta power market is used as a study case, and simulation results show that reserve capacity can achieve combined hedging by changing the distribution of net shortage capacity.(4)From a financial perspective, a new form of option is designed for the combined hedging of engineering and financial risk. Hourly spot price model for pricing the new option is formed. Risk-neutral theory and Monte-carlo method are used for pricing the new option. And risk hedging effect of the new option is evaluated. Electricity price of PPX in France is used as a study case, and simulation results show that since the effect of the new option is equivalent to changing the distribution of spot price, it can be used as a risk hedging tool as well as reserve capacity.(5)Risk assessment and hedging method with consideration of wind generation are studied. The above proposed new option is used by wind generation companies as a risk hedging tool. The principle of option is used to derive the fundamental characteristic of bounded premium and fixed tariff policies. Two criteria whether some certain price policy can benefit wind generation companies are proposed.(6)Based on the existing power industry structure in China, problems caused by wind integration and the countermeasures are studied from a risk perspective.