基于vine-Copula的发电商运营损益动态风险VaR评估方法

XIE Min

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基于vine-Copula的发电商运营损益动态风险VaR评估方法

更新时间：2025-08-13

- 基于vine-Copula的发电商运营损益动态风险VaR评估方法
- Automation of Electric Power Systems Vol. 43, Issue 5, Pages: 39-45(2019)
- 作者机构：
  
  华南理工大学电力学院,广东省,广州市,510640
- 作者简介：
- 基金信息：
- DOI：
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- Published：2019
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XIE Min. [J]. Automation of electric power systems, 2019, 43(5): 39-45.
DOI：

XIE Min. [J]. Automation of electric power systems, 2019, 43(5): 39-45. DOI：

摘要

电力市场环境下，负荷和电价的波动、可再生电源的随机出力、网络拓扑结构的变化、系统运行方式的调整等大量不确定因素为发电商的运营收益增加了不同程度的风险。为了帮助发电商准确评估自身风险并以此制定合适的报价策略及机组发电计划，提出了基于vine-Copula理论的发电商损益风险价值(VaR)评估模型。首先，基于交流潮流，建立了电网日前动态经济调度最优潮流模型，用以计算节点边际电价；随后，引入pair-Copula理论构建了多个发电商损益函数的高维vine-Copula相依结构；最后，通过VaR的定义求出不同置信度下发电商运营组合风险的VaR值。基于IEEE 39节点系统的算例验证了所提模型和方法的有效性。

Abstract

In the power market environment

the fluctuation of load and electricity price

the random output of renewable power supply

the change of network topology

the adjustment of the system operation mode and a large number of uncertainties add risks for the operating income of generation companies(GenCos). In order to help GenCos accurately evaluate their own risks and formulate appropriate bidding strategies and generating unit plans

a vine-Copula theory based value at risk(VaR)evaluation model is presented for the profit and loss of GenCos. Firstly

based on the AC power flow

the optimal power flow model for day-ahead dynamic economic dispatch of power grid is established to calculate the locational marginal price. Then

the pair-Copula theory is introduced to construct the high dimensional vine-Copula dependent structure of the profit and loss functions of GenCos. Finally

the VaRs of operating combined risk of GenCos under different confidence levels are calculated based on the definition of VaR. The example of IEEE 39-bus system is taken to verify the effectiveness of the proposed model and method.

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