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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。
In a competitive electricity market, uncertain electricity prices and electricity prices expose market participants to electricity market risks. According to the actual situation of the mature and competitive overseas electricity market, this paper analyzes the sources, measure indexes and management tools of the electricity market risks, and suggests using the condition-based cash flow as an indicator to measure the electricity market risk. This paper proposes a model of power market risk calculation in a competitive power market, analyzes the characteristics of power market risks, the role of power derivative transactions in power market risk management, and the optimization of portfolio of physical and derivative products , The effective frontier of power portfolio of sample enterprises under different market conditions is calculated, and the strategy of power market risk management and portfolio optimization in the competitive power market is summarized.