Risk Analysis Of The Electricity Auction Market Based On Cvar

The power industry is reform of the market, the power companies are pushed in the forefront of market competition . The power companies pursuit to attain maximum profit and make the risk minimize , While their goals depends on the choice of bidding strategy coming ture. Therefore, the bidding strategies on risk management has been the focus and hot spots of the power business.Along with the deepening of reform of the electricity market, countries have adopted the futures market to hedge risks, the single spot auction market risk analysis has not adapted the practical requirements, but the electricity auction market risk analysis has become more accurate risk management research content which has considered futures transaction.According the relatively novel perspective of the spot market and futures markets coexist, this paper has studied to bidding dynamic risk of the electricity marke.First, the traditional measure of risk methods are inadequate by analysis. the new measure of risk methods–Conditions of value at risk CVaR is discussed.And it noted the relationship between the VaR and the CVaR methods,which indicating the reasons that the conditions for value at risk measure CVaR can be more effectively.Secondly, this paper has introducted severe price volatility, changes in extremes, as well as the relevance of non-linear of spot and futures markets to core model (CVaR risk measure models) for building the power biding market risk characterization models, including the introduction of GARCH model family,embedding extreme value theory, adding Copula functions. As the same time, using datas of the same hour in a day to analysis dynamic bidding for a single spot market risk and analysis the electricity bidding market risk which considering the futures influence . and then given CVaR dynamic curve in the 90% and 95% confidence level. It is shown by studies that the actual risk assessment model which combines with power assets can provide an effective method of risk measurement for the generator.