零售市场单一卖方的最优风险管理策略

电力零售市场的单一卖方在制定风险管理策略时,需要解决的基本问题是如何在电力现货市场和期货市场之间分配购电量.文章采用标准差作为风险测量指标,运用效率边界的概念,建立了零售电力市场单一卖方最优风险策略的模型,得到了用于最优风险策略及其风险减少量的简洁计算公式,并解释了最优风险策略计算公式的风险管理意义.敏感性模拟显示,该模型给出的最优风险策略能很好地管理因现货价格波动而产生的风险,但对因需求量波动而产生的风险的管理效果不理想,并且现货价格与需求量之间较强的相关性将明显削弱风险策略的风险管理能力.

OPTIMAL RISK MANAGEMENT STRATEGIES FOR SINGLE SELLER IN RETAIL MARKET

When the single seller in electric power retail market works out its own risk management strategies, the basic problem to be solved is that how to determine the optimal ratio of electricity quantities bought from the electricity future market and the spot market separately. Here, taking the standard deviation for measuring index of risk and using the concept of efficient frontier, an optimal risk strategy model for single seller in electric power retail market is proposed and sententious calculation formulae for optimal risk strategies and the reduction of risk are obtained and the meaning of risk management of the calculation formulae for optimal risk strategy is explained. The results of sensitivity simulation show that the risks caused by the spot price fluctuation can be well managed by the optimal risk strategies given by the proposed model, but for the risks caused by the demanded quantity the effect of management is not ideal, and the risk management ability of the risk strategies will be obviously weakened by the closer correlation between the spot price and demand of end-users.