基于Copula方法的电力市场组合风险分析  

Portfolio risk analysis in electricity market based on Copula approach

作　　者：亢娅丽[1] 张宗益[1] 郭兴磊[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《电力系统保护与控制》2012年第6期50-56,共7页Power System Protection and Control

基　　金：国家自然科学基金项目(70941029)~~

摘　　要：结合Copula函数的特点和GARCH模型的优势,考虑了电力实时、日前期货两市场收益间的相关结构和两市场收益序列的统计特性,构造了两市场收益组合的Gumbel Copula-(GARCH-GED,GARCH-t)模型,并采用谱风险测度方法度量组合的风险。实例研究结果表明,与二元正态分布模型相比,基于Copula模型的风险度量值更接近实际的风险度量值;谱风险考虑了投资者的主观风险态度,可以更加灵活地度量风险。Considering the correlation of the profits between the electricity real-time market and day-ahead market and the statistical characteristics of the profit series, this paper establishes the dependence portfolio model-Gumbel Copula- （GARCH-GED, GARCH-t） based on the advantages of the Copula function and the GARCH model. We apply spectral risk measure to the portfolio. Calculation results show that the risk measure results under the Copula model is closer to the actual risk value than the results under binary normal joint distribution. Moreover, spectral risk measure is flexible, when considering the user＇s risk-averse degree. This work is supported by National Natural Science Foundation of China （No. 70941029）.

关 键 词：电力市场 投资组合 谱风险 COPULA 

分 类 号：TM73[电气工程—电力系统及自动化] F407.61[经济管理—产业经济]