采用历史模拟法分析电网公司的购电风险  

Analysis of electricity purchase risks for grid companies based on historical simulation

作　　者：施泉生[1] 

机构地区：[1]上海电力学院电力金融研究所,上海200090

出　　处：《华东电力》2008年第7期10-11,共2页East China Electric Power

基　　金：上海市教委重点项目(06ZS70);上海市教委重点学科(J51302)资助

摘　　要：电价波动导致的风险关系到电网公司的直接经济损失。利用历史模拟法计算VaR的值,并利用华东电力市场第2次调电试验数据,分别从峰段、谷段进行了电价概率分布分析,电价波动分析以及购电成本波动分析,结果具有一定的参考价值。The risk caused by electricity price fluctuation relates to the direct economic loss of grid companies. The historical simulation was applied to calculate the value of VaR, and the data of the second electricity dispatching experiment conducted by East China electricity market were used to analyze the price probability distribution, the price fluctuation, and the purchasing cost fluctuation during the peak period and valley period respectively.

关 键 词：电力市场 竞价上网 风险控制 历史模拟法 购电风险 

分 类 号：TM-9[电气工程] F407.61[经济管理—产业经济]