利用系统剩余容量评估电力市场中长期金融风险

电力市场中的中长期金融风险由于时间跨度较长,可能给市场参与者带来更为严重的损失,因此对其准确评估具有重要的现实意义.但是电价和供求这两个风险因子之间的强相关性使得蒙特卡罗方法无法直接应用于电力市场风险计算.系统剩余容量百分比反映了系统的电力供求状况,能够较好地解决相关性问题.本文引入剩余容量百分比与电价的关系曲线,以周数据为基础,应用蒙特卡罗方法,建立了月份、季度等中长期金融风险的评估模型,并结合浙江电力市场运行数据进行评估.计算结果表明该模型是有效的,预测结果和实际情况比较吻合.本文建立的模型具有较好的实用性,对防范和控制电力市场中长期金融风险具有参考价值.

Evaluating Medium and Long-Term Financial Risk in Electricity Market by Applying System Surplus Capacity

The medium and long-term(MLT)financial risk in electricity market may cause enormous loss to market participants, so evaluation on MLT financial risk is of great meaning. The application of Monte-Carlo method to risk calculation in electricity market has encountered difficulty because of strong correlation between price and demand. This paper introduces the relationship between surplus capacity percent and price to solve correlation problem. Based on weekly data, Monte-Carlo method is used for establishing assessment models of MLT financial risk, such as month, quarter, etc. Illustrative example of Zhejiang electricity market indicates that these models are efficient and forecasting results are in good agreement with actual conditions. These models are practical and valuable in preventing and controlling MLT financial risk in electricity market.