The Bidding Strategy Analysis of Power Suppliers Based on the Risk Assessment

To maximize the expected profit, the power suppliers may plan bidding strategy in different markets and in different periods. In the planning, the bidding risk is the key factor that the power suppliers must consider. The optimal bidding strategy model is put forward, in which the conditional value at risk (CVaR) is taken as the risk measurement and the object function, and the expected profit is taken as the restriction condition. The model explains the optimal bidding strategy in multi-period combination markets at a certain significant level. This method of using the CVaR as the objective function overcomes the shortcomings of VaR which can´t meet the consistency risk measurement when the payoff satisfies the abnormal distribution, furthermore, this method can distinguish the factors which should not be taken as the risk when the return is higher than the mean value. Finally, the validity of this optimal bidding strategy is presented by an example.