电力产业风险元传递模型及其信息系统研究
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摘要
电力产业是国家经济发展的重要基础性产业,电力产业具有资金密集型、技术密集型等特点,由于电力产业独有的这些特点,使得电力产业的风险管理显得尤为重要。风险管理的目标是识别并定量分析风险,进而通过一定的措施去规避风险。本文把影响总目标变化的风险因子看成风险元,通过研究风险元的数学特征、概率特征和传递特性,详细研究分析建立了适合电力产业风险管理的风险元传递模型体系。先将电力产业按照所司职能不同分为发电商、供电商等主体,然后对各类主体的不同领域的风险进行风险元传递研究。
站在发电商的角度,本文首先研究建立了火电厂投资项目经济评价的风险元传递模拟模型,将火电厂燃料价格看成风险元,分析了火电厂投资项目的净现值变化规律；其次研究了水电厂投资项目经济评价的风险元传递模拟模型,将河流来水量看成是风险元,建立了水电站投资项目的经济评价风险元传递模拟模型,进而探讨了水电站投资项目的经济可行性；第三,通过构建设备故障预测的马尔科夫链模型,得出了设备检修计划的安排方法；第四,引入金融界的Copula函数描述了电力期货和现货的相关性,并得出优化后的套期保值比率；第五,分别构建了基于条件风险价值的发电权交易买卖风险元传递优化模型；第六,通过对完全竞价市场和寡头市场进行分析,将碳排放权作为风险元,建立了碳排放权交易情况下两市场的均衡问题；最后,将燃煤价格看成风险元,研究构建了煤炭价格变动对火力发电商电价的风险元传递模型,得出了煤价变化对上网电价变化的联动变化效应。
站在供电商的角度,本文首先通过对电网建设项目的历史数据进行分析,建立了基于覆盖粗糙集的风险元传递模型,设计了风险知识库用于投资风险管理；其次,通过分析电力负荷与气温等因素变化的关系,建立了基于气温风险元干预模型的电力负荷预测修正模型；再次,通过分析供电商在现货和合约市场的买电行为,利用贝叶斯模型建模,构建了期望损失最小化的购电模型。第四,建立了基于粗糙集分类模型的供电企业风险元传递评估模型；最后,建立了基于三角模糊数的供电中断风险元传递评估模型。
站在电力产业链的角度,分析并研究了电力产业链上游的燃料价格、碳排放权价格等风险元对整个电力产业中多个参与主体的市场报价的影响,建立了相应的风险元传递模型。
最后,本文基于全文的风险元传递模型,研究构建了电力产业风险元传递计算及模拟系统,分析了该系统的功能结构,并在此基础上研究设计了该信息系统。
The electric power industry is one of the basic industries of the national economic development. It has the characters of capital-intensive and technology-intensive. Because of these special features, risk management in power industry is particularly important. The goal of risk management is to avoid risk through identifying risks, measuring risk and modeling risk. In this thesis, risk factors influenced the overall goal were called risk elements. A series of risk elements transmission models of electric power industry were built via analyzing the mathematical characteristics, the probability characteristics and the transmission characteristics of these risk elements. The research work had been done in this thesis is as follows. Firstly, participants were separated from the electric power industry in accordance with their functions, such as the power generator, the power supplier and the power user and so on. Then, risk elements transmission models of each subject in different aspects have been established.
From the perspective of power generator, firstly, an economic evaluation risk element transmission model is proposed. The fuel price was viewed as the risk element and a risk element transmission model of the economic evaluation about the thermal power plant investment project has been built. The NPV variation of the thermal power plant investment project was been analyzed. Secondly, the hydroelectric power plant economic evaluation risk elements transmission simulation model is built. The annual energy production has been seemed as risk element. And a risk element transmission model of economic evaluation in a hydroelectric power plant investment project is put forward. Thirdly, for the equipment maintenance management of the power generator, the equipment maintenance plan has been arranged by establishing the Markov prediction model. Fourthly, an optimization hedging ratio is figured out by using the copula function to describe the correlation of electricity futures and spot price. And then, the risk element transmission optimization model of generation rights trading based on the conditional risk value has been analyzed both for generation rights seller and buyer. After that, the carbon emission right price has been seemed as risk element, the balance problem of completed competitive market and oligopoly market under the case of carbon emission right trading has been solved. At last, a risk element transmission model of thermal power supplier has been built by considering the coal price as risk element.
From the perspective of power supply company, firstly, a risk element transmission model of electricity network construction project based on the Covering Rough Set has been built by analyzing the historical data of power grid construction projects. This model can output the curve of the changing NPV based on history data. Secondly, after analyzing the relationship between power load and temperature, a power load forecasting risk element correct model of temperature intervention has been established. Thirdly, a power purchase model with the goal of minimal expectation loss based on Bayesian theory is built by analyzing the power supplier bidding behavior in contract market and spot market. Next, a risk element transmission assessment model has been raised based on Rough Set. At last, a power interruption risk assessment model based on the risk element transmission was been built by using Triangular Fuzzy Numbers Assessment Method.
In the point of electricity industry chain, an analytical model of power industry price chain risk element transmission model has been established. The model has researched the change of electricity prices impact by the fuel prices, carbon trading price and so on.
At last, based on the risk elements transmission model above, a power industry risk transmission information system has been designed.
站在发电商的角度,本文首先研究建立了火电厂投资项目经济评价的风险元传递模拟模型,将火电厂燃料价格看成风险元,分析了火电厂投资项目的净现值变化规律；其次研究了水电厂投资项目经济评价的风险元传递模拟模型,将河流来水量看成是风险元,建立了水电站投资项目的经济评价风险元传递模拟模型,进而探讨了水电站投资项目的经济可行性；第三,通过构建设备故障预测的马尔科夫链模型,得出了设备检修计划的安排方法；第四,引入金融界的Copula函数描述了电力期货和现货的相关性,并得出优化后的套期保值比率；第五,分别构建了基于条件风险价值的发电权交易买卖风险元传递优化模型；第六,通过对完全竞价市场和寡头市场进行分析,将碳排放权作为风险元,建立了碳排放权交易情况下两市场的均衡问题；最后,将燃煤价格看成风险元,研究构建了煤炭价格变动对火力发电商电价的风险元传递模型,得出了煤价变化对上网电价变化的联动变化效应。
站在供电商的角度,本文首先通过对电网建设项目的历史数据进行分析,建立了基于覆盖粗糙集的风险元传递模型,设计了风险知识库用于投资风险管理；其次,通过分析电力负荷与气温等因素变化的关系,建立了基于气温风险元干预模型的电力负荷预测修正模型；再次,通过分析供电商在现货和合约市场的买电行为,利用贝叶斯模型建模,构建了期望损失最小化的购电模型。第四,建立了基于粗糙集分类模型的供电企业风险元传递评估模型；最后,建立了基于三角模糊数的供电中断风险元传递评估模型。
站在电力产业链的角度,分析并研究了电力产业链上游的燃料价格、碳排放权价格等风险元对整个电力产业中多个参与主体的市场报价的影响,建立了相应的风险元传递模型。
最后,本文基于全文的风险元传递模型,研究构建了电力产业风险元传递计算及模拟系统,分析了该系统的功能结构,并在此基础上研究设计了该信息系统。
The electric power industry is one of the basic industries of the national economic development. It has the characters of capital-intensive and technology-intensive. Because of these special features, risk management in power industry is particularly important. The goal of risk management is to avoid risk through identifying risks, measuring risk and modeling risk. In this thesis, risk factors influenced the overall goal were called risk elements. A series of risk elements transmission models of electric power industry were built via analyzing the mathematical characteristics, the probability characteristics and the transmission characteristics of these risk elements. The research work had been done in this thesis is as follows. Firstly, participants were separated from the electric power industry in accordance with their functions, such as the power generator, the power supplier and the power user and so on. Then, risk elements transmission models of each subject in different aspects have been established.
From the perspective of power generator, firstly, an economic evaluation risk element transmission model is proposed. The fuel price was viewed as the risk element and a risk element transmission model of the economic evaluation about the thermal power plant investment project has been built. The NPV variation of the thermal power plant investment project was been analyzed. Secondly, the hydroelectric power plant economic evaluation risk elements transmission simulation model is built. The annual energy production has been seemed as risk element. And a risk element transmission model of economic evaluation in a hydroelectric power plant investment project is put forward. Thirdly, for the equipment maintenance management of the power generator, the equipment maintenance plan has been arranged by establishing the Markov prediction model. Fourthly, an optimization hedging ratio is figured out by using the copula function to describe the correlation of electricity futures and spot price. And then, the risk element transmission optimization model of generation rights trading based on the conditional risk value has been analyzed both for generation rights seller and buyer. After that, the carbon emission right price has been seemed as risk element, the balance problem of completed competitive market and oligopoly market under the case of carbon emission right trading has been solved. At last, a risk element transmission model of thermal power supplier has been built by considering the coal price as risk element.
From the perspective of power supply company, firstly, a risk element transmission model of electricity network construction project based on the Covering Rough Set has been built by analyzing the historical data of power grid construction projects. This model can output the curve of the changing NPV based on history data. Secondly, after analyzing the relationship between power load and temperature, a power load forecasting risk element correct model of temperature intervention has been established. Thirdly, a power purchase model with the goal of minimal expectation loss based on Bayesian theory is built by analyzing the power supplier bidding behavior in contract market and spot market. Next, a risk element transmission assessment model has been raised based on Rough Set. At last, a power interruption risk assessment model based on the risk element transmission was been built by using Triangular Fuzzy Numbers Assessment Method.
In the point of electricity industry chain, an analytical model of power industry price chain risk element transmission model has been established. The model has researched the change of electricity prices impact by the fuel prices, carbon trading price and so on.
At last, based on the risk elements transmission model above, a power industry risk transmission information system has been designed.
引文
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