基于非线性动力学特征的供电公司风险度量指标设计  

Design on Risk Measurement Index of Power-supplying Company Based on Nonlinear Dynamic Characteristics

作　　者：关勇[1] 王绵斌[1] 张丽英[1] 谭忠富[1] 

机构地区：[1]华北电力大学电力经济研究所,北京102206

出　　处：《技术经济》2009年第4期48-53,共6页Journal of Technology Economics

基　　金：国家自然科学基金项目(70373017;70571023);国家"新世纪优秀人才支持计划"项目(NCET-060208);北京市哲学社会科学规划项目(06BaJG102)资助

摘　　要：在分析既有风险管理方法的基础上,研究了我国电力市场上网电价波动风险的度量问题。基于上网电价的显著的非线性特征,采用多维指标对上网电价波动风险的深度、宽度和持久度进行度量。首先,从定量的角度,采用VaR指标对风险波动的深度进行评估,采用标准离差率对风险波动的宽度进行评估,采用上网电价的波动频率对风险波动的持久度进行评估;其次,对上述3个评估指标的设计合理性进行了讨论,并构建了供电公司风险度量模型;最后,通过实证分析表明所建立的供电公司风险度量模型能更全面、更科学地描述我国上网电价波动,可为我国电力市场电价的风险控制提供一定的参考。This paper studies the risk measurement of on-grid price in the electricity market of China through the analysis on the present risk management methods. Based on nonlinear characteristics of on-grid price,it uses multi-dimensional indexes to measure the depth,the width and the lasting degree of fluctuation risk of on-grid price. Firstly,from the quantitative aspect,it evaluates the depth of fluctuation risk by value-atrisk（VaR） ,and the width of fluctuation risk by standard deviation rate,and the lasting degree of fluctuation risk by the fluctuation frequency of on-grid price. Then,it discusses the design rationality of three presented indexes,and establishes the risk evaluation model of power-supplying company. Finally, the empirical result shows that this model can describe the fluctuation of on-grid price more comprehensively and scientifically, which provides references for the risk control of electricity price in the electricity market of China.

关 键 词：供电公司 风险价值 HURST指数 重标极差分析 风险度量指标 

分 类 号：F426.61[经济管理—产业经济]