首页 | 本学科首页   官方微博 | 高级检索  
     

利用系统剩余容量评估电力市场短期金融风险
引用本文:周浩,康建伟,韩祯祥,张富强,陈建华,王冬明,孙维真,高国宁. 利用系统剩余容量评估电力市场短期金融风险[J]. 电力系统自动化, 2004, 28(23): 6-10,21
作者姓名:周浩  康建伟  韩祯祥  张富强  陈建华  王冬明  孙维真  高国宁
作者单位:浙江大学电气工程学院,浙江省,杭州市,310027;浙江省电力调度通信中心,浙江省,杭州市,310007
摘    要:电价的异常波动带来了巨大的金融风险,对金融风险进行评估具有重要的现实意义。在电力市场中,由于电价和供求等风险因子的相互影响,导致金融风险和技术风险密切相关,从而使得Monte-Carlo方法无法直接应用于金融风险的评估,其中技术风险主要是指反映电力供求状况的系统备用容量。系统剩余容量与电价的关系曲线可以解决风险因子之间的相关性问题,进而将系统中的技术风险和金融风险有机地结合在一起。引入系统剩余容量与电价的关系曲线,并基于Monte-Carlo方法进行建模,同时利用浙江电力市场实际运行数据进行试算,结果表明该模型是可行的,它在预测电价上下限方面比历史模拟法准确性更高,对电力市场中金融风险的预测和控制具有较好的参考价值。

关 键 词:电力市场  金融风险  系统剩余容量百分比  VaR  风险评估
收稿时间:1900-01-01
修稿时间:1900-01-01

EVALUATING SHORT-TERM FINANCIAL RISK IN ELECTRICITY MARKET BY APPLYING SYSTEM SURPLUS CAPACITY PERCENT
Zhou Hao,Kang Jianwei,Han Zhenxiang,Zhang Fuqiang,Chen Jianhua,Wang Dongming,Sun Weizhen,Gao Guoning. EVALUATING SHORT-TERM FINANCIAL RISK IN ELECTRICITY MARKET BY APPLYING SYSTEM SURPLUS CAPACITY PERCENT[J]. Automation of Electric Power Systems, 2004, 28(23): 6-10,21
Authors:Zhou Hao  Kang Jianwei  Han Zhenxiang  Zhang Fuqiang  Chen Jianhua  Wang Dongming  Sun Weizhen  Gao Guoning
Abstract:In the electricity market, the abnormal fluctuation of electricity price can lead to vast financial risk, so evaluation on financial risk is of great importance. But due to the mutual influence of risk factors, the financial risk is closely related with technological risk, which refers to system reserve capacity reflecting the electricity supply and demand. So Monte-Carlo method is not able to directly evaluate the financial risk in electricity market. Because the system surplus capacity can reflect technological risk well, the relation between system surplus capacity and electricity price can solve the relativity problem among risk factors and combine technological risk and financial risk together well. In this paper, the relationship between system surplus capacity and electricity price combined with Monte-Carlo method is used in modeling. Based on the data of Zhejiang electricity market, the model is much more accurate than historical simulation method in predicting upper and lower price limit. Furthermore, the model can be widely used in predicting and controlling financial risk of electricity market.
Keywords:electricity market  financial risk  system surplus capacity percent  value at risk (VaR)  risk assessment
本文献已被 CNKI 维普 万方数据 等数据库收录!
点击此处可从《电力系统自动化》浏览原始摘要信息
点击此处可从《电力系统自动化》下载全文
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号