考虑电力衍生产品的风险管理和资产组合优化模型

在竞争的电力市场中,不确定的电价和电量使市场参与者面临电力市场风险.文中根据国外成熟竞争性电力市场实际情况,对电力市场风险的来源、测度指标和管理工具进行了分析,建议采用条件在险现金流作为测度电力市场风险的指标.提出了竞争性电力市场下的电力市场风险计算模型,通过典型电力企业实例分析了电力市场风险的特点、电力衍生产品交易对电力市场风险管理的作用以及电力实物资产和衍生产品投资组合优化等问题,计算了不同市场条件下样本企业的电力资产组合有效前沿,并对竞争性电力市场中的电力市场风险管理和资产组合优化策略进行了总结.

Optimization Model of Risk Management and Asset Portfolio with Consideration of Electricity Derivatives

In the traditional regulated electricity industry, as the electricity price is stable and predictable, the electricity market risk management is relatively simple. In the competitive electricity market, the uncertain electricity price and trading volume forced the electricity market participants to face the electricity market risk. The sources, measure and management tools of electricity market risk under the circumstance of mature competitive electricity markets abroad are analyzed and it is suggested to take conditional cash flow at risk (CCFaR) as the proper electricity market risk measure. An electricity market risk model under the competitive electricity market is presented, and through the sample of a typical electricity utility, the characteristics of the electricity market risk and the role of the electricity derivatives trade in the electricity market risk management are analyzed. The real asset and electricity derivatives investment portfolio optimization problem are also studied and the efficient frontiers of the sample company under different market conditions are calculated. Finally, the electricity market risk management and portfolio optimization strategies in competitive electricity market are summarized.