| 蒙特卡罗方法在电力市场短期金融风险评估中的应用 |
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| 引用本文： | 周浩,康建伟,陈建华,包松.蒙特卡罗方法在电力市场短期金融风险评估中的应用[J].中国电机工程学报,2004,24(12):74-77. |
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| 作者姓名： | 周浩 康建伟 陈建华 包松 |
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| 作者单位： | 浙江大学电气工程学院,浙江省,杭州市,310027 |
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| 摘 要： | 电力市场中，市场在给市场参与者带来预期利益的同时，也使其面临着巨大的金融风险，因此，对金融风险进行评估具有重要的现实意义。该文引入预测负荷-电价关系，并利用Monte-Carlo方法建立风险评估模型，较好地解决了预测负荷和电价的相关性问题，并运用浙江电力市场实际运行的数据进行分析计算，结果表明，该模型对于计算电力市场金融风险是可行的，对电力市场金融风险的预测和防范具有参考价值。
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| 关 键 词： | 电力市场 金融风险 电价 市场参与者 预期 预测 评估 负荷 运行 分析计算 |
| 文章编号： | 0258-8013(2004)12-0074-04 |
| 修稿时间： | 2004年5月18日 |
EVALUTING SHORT-TERM FINANCIAL RISK IN THE ELECTRICITY MARKET BY APPLYING MONTE-CARLO METHOD |
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| ZHOU Hao,KANG Jian-wei,CHEN Jian-hua,BAO Song.EVALUTING SHORT-TERM FINANCIAL RISK IN THE ELECTRICITY MARKET BY APPLYING MONTE-CARLO METHOD[J].Proceedings of the CSEE,2004,24(12):74-77. |
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| Authors: | ZHOU Hao KANG Jian-wei CHEN Jian-hua BAO Song |
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| Abstract: | In the electricity market, the market can bring not only expected income for partici pants, but also enormous financial risk. So evaluation on financial risk is of great importance. In the paper, in order to solve the relativity problem of forecast load and electricity price, the relation between forecast load and electricity price combined with Monte-Carlo Method is used in modeling. Based on the data of Zhejiang electricity market, the analysis result shows that the the model is feasible. Further more, the model is valuable in predicting and controlling financial risk of electricity market. |
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| Keywords: | Electricity market Financial risk VaR(Value at Risk) Monte-Carlo method |
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