Risk evaluation method based on multi-variety electricity transaction

A technology for power trading and risk assessment, applied in instrumentation, finance, data processing applications, etc., can solve problems such as inapplicable multi-variety power trading risk assessment, and achieve accurate risk assessment

Inactive Publication Date: 2018-11-20
ECONOMIC TECH RES INST OF STATE GRID HENAN ELECTRIC POWER +2
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  • Abstract
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Problems solved by technology

However, this invention application is not applicable to the risk assessment of multi-variety power trading

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  • Risk evaluation method based on multi-variety electricity transaction

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Embodiment Construction

[0050]The embodiments described below are exemplary and are only for explaining the present invention, but not construed as limiting the present invention.

[0051] refer to figure 1 , a risk assessment method based on multi-variety power trading, including the following steps:

[0052] Step 1. Collect basic data of various market transactions, including the transaction allocation ratio of power generators in each market, the yield of power generators in each market transaction, and the yield combination of power generators' multi-market portfolio;

[0053] Step 2. On the basis of the mean-variance risk assessment, the value-at-risk model method is used to calculate the value-at-risk VaR value under power trading;

[0054] Step 3. Compare the value-at-risk VaR value under power trading with the expected rate of return of the trading portfolio. When the expected rate of return of the trading combination is greater than or equal to the VaR value of the risk value under power tr...

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Abstract

The invention discloses a risk evaluation method based on multi-variety electricity transaction, which comprises the following steps of: firstly, acquiring transaction basic data of various markets; then on the basis of mean-variance risk evaluation, calculating VaR(Value at Risk) values under the electricity transaction by adopting a VaR model method; and finally, comparing the VaR values under the electricity transaction to a transaction portfolio expected return rate, when the transaction portfolio expected return rate is greater than or equal to the VaR values under the electricity transaction, obtaining a result that transaction portfolios are all effective multi-variety power transaction portfolios, and when the transaction portfolio expected return rate is greater than the VaR valueunder the electricity transaction, obtaining a result that the transaction portfolios are optimal transaction portfolios. According to the invention, transaction risks of different electricity markettransaction goods are researched, and on the basis of a mean-variance model of multi-variety electricity transaction portfolios, a VaR constraint is added, so that the transaction risk of a generation company is comprehensively considered.

Description

technical field [0001] The invention belongs to the technical field of power transaction risk assessment, and in particular relates to a risk assessment method based on multi-variety power transaction. Background technique [0002] The energy Internet is developing rapidly, and the technology is gradually becoming mature. Against this background, the electricity market will also present a multi-variety transaction model. Due to the diversity of transactions in the electricity market, the transaction model in the electricity market will present diversity and high risks. And the risk of electricity trading under the Energy Internet is different from the risk in traditional electricity trading. [0003] Therefore, it is imperative to study the transaction risks of different power market transactions under the energy Internet. [0004] The invention application with the publication number CN106940833A discloses a risk assessment method for power grid enterprises on the electric...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04G06Q10/06G06Q50/06
Inventor 王江波宋大为白宏坤李虎军邓方钊
Owner ECONOMIC TECH RES INST OF STATE GRID HENAN ELECTRIC POWER
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