Due to ongoing efforts for decarbonization, electricity markets worldwide are undergoing fundamental transitions, which result in increased uncertainty for all market participants. Against this background, we investigate the impact of risk aversion on investment and market operation in markets with different congestion pricing regimes and multi-level decision making. We develop a stochastic multi-level equilibrium model with risk-averse agents, which includes investment in transmission and generation capacity, market operation, and redispatch. The model can incorporate perfect, as well as imperfect locational price signals and different upper-level expectations about lower-level risk aversion. We apply our model to a stylized two-node example and compare the effects of risk aversion in a system with zonal and nodal pricing, respectively. Our results show that the effect of risk aversion is more pronounced in a market with nodal pricing, compared to a market with imperfect locational price signals. Furthermore, transmission planners that are ignorant about risk aversion of generation companies can induce substantial additional costs, especially in a nodal pricing market.

由于脱碳的持续努力，全球电力市场正在经历根本性转变，这导致所有市场参与者的不确定性增加。在此背景下，我们研究了在不同拥堵收费制度和多层次决策的市场中，风险规避对投资和市场运行的影响。我们开发了一个具有风险规避代理的随机多级均衡模型，其中包括输电和发电容量、市场运营和再调度的投资。该模型可以结合完美和不完美的位置价格信号以及对较低级别风险规避的不同上级预期。我们将我们的模型应用于一个程式化的双节点示例，并分别比较了具有区域和节点定价的系统中风险规避的影响。我们的研究结果表明，与具有不完善位置价格信号的市场相比，具有节点定价的市场中风险规避的影响更为明显。此外，对发电公司的风险规避一无所知的输电规划者可能会导致大量的额外成本，尤其是在节点定价市场中。