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Assessing and Hedging of Engineering and Financial Risk Under Electricity Markets

Author: ZhaoShanShan
Tutor: YinYongHua;ZhangDongXia
School: China Electric Power Research Institute
Course: Proceedings of the
Keywords: Electricity market Risk assessment Risk aversion Project risks Financial risks Dynamic Stability Voltage stability Spare capacity Options Wind Power
CLC: F426.61
Type: PhD thesis
Year: 2010
Downloads: 189
Quote: 0
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Abstract


Risk theory is introduced into the field of power industry, and to solve new problems emerging in the competitive electricity market, to guarantee the security of the power system in the market conditions are of great significance. Assessment of the engineering and financial risks in the electricity market conditions and circumvent the research, the main contents are as follows: (1) dynamic stability risk assessment method and assessment model, and a large area of ??the actual running of interconnected power system. The analysis results show that the area interconnected power system there is more than one sender can contribute by coordinating the sending end to reduce the risk of system dynamic instability; through the rational allocation of power system stabilizer (PSS) and input DC modulation can significantly reduce area oscillation mode of dynamic instability risks. (2) The proposed method and model of transient voltage stability risk assessment; combined with the actual grid SVC investment demarcation point is judged based on the transient voltage instability risk. The analysis results show that the same voltage load shedding scheme, there is a SVC investment demarcation point, different voltage load shedding scheme will affect the demarcation point, therefore necessary voltage load shedding programs and dynamic reactive power compensation configuration program integrated optimization . (3) engineering and financial risk assessment models and joint circumvent strategy to provide a quantitative basis for the formulation and evaluation of effects of various measures of risk aversion. From a physical point of view, the reserved spare capacity to achieve a joint circumvent the method. Canada, Alberta electricity market as an example, the simulation results show that the reserved spare capacity to change the distribution of the net shortfall of generating capacity, in order to achieve both the risk of joint circumvent. (4) from a financial point of view, the design of new options for a way to circumvent the engineering and financial risk of the power suppliers. The formation of a the hour option pricing applies to new real-time tariff model; risk neutral theory and Monte Carlo methods for exotic options pricing; quantitative assessment of the effect of exotic options risk aversion. As an example, the simulation results show that the role of the new options is equivalent to changing the distribution of electricity, can effectively reduce the risk of reserved spare capacity complementary Paris Power Exchange spot price. (5) to study wind power access systems, risk assessment and avoidance. This thesis is to design a new type of options used in the wind power business risk aversion; reveal the essence of the policy of Limit and Fixed Price Option Theory; Two criteria for different limit and fixed-price policy on this basis, the advantages and disadvantages of the wind power method. (6) based on the reality of our country, from a risk point of wind power in the current power pattern grid problems and possible solutions.

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