利用系统剩余容量评估电力市场短期金融风险

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。

EVALUATING SHORT-TERM FINANCIAL RISK IN ELECTRICITY MARKET BY APPLYING SYSTEM SURPLUS CAPACITY PERCENT

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.