Combined Bidding Strategy and Model for Power Suppliers Based on CVaR Risk Measurement Techniques

In electricity market, the different markets have different price fluctuation and stochastic changing characteristics of revenue rate. To obtain the maximum annual profits and the minimum risk value, the power suppliers should allocate the bidding electricity to each market reasonably. Using the risk management theory in financial research field for reference, taking the conditional value at risk (CVaR) as risk measurement index, a novel Mean-CVaR optimal combined bidding model is built by considering the risk and expected revenue rate synthetically. Based on the proposed model, the efficient frontier and the electricity allocation ratio for the power suppliers in four markets, such as annual contract market, monthly contract market, day-ahead market and spot market are calculated. The calculation results show that the proposed model can truly reflect the essential characters of the market risk facing the power suppliers and guarantee the power suppliers to obtain the expected profits at the minimum CVaR risk level. So it provides the power suppliers a new way for bidding decision-making and risk valuation.