采用VaR历史模拟方法计算电力市场短期金融风险  

CALCULATION OF SHORT-TERM FINANCIAL RISK IN ELECTRICITY MARKET BY VAR HISTORICAL SIMULATION METHOD

作　　者：周浩[1] 张富强 

机构地区：[1]浙江大学电气工程学院,浙江省杭州市310027

出　　处：《电力系统自动化》2004年第3期14-18,共5页Automation of Electric Power Systems

摘　　要：首先介绍了历史模拟法计算电力市场金融风险的基本原理,然后采用浙江省电力市场的历史运行数据,对电力市场次日的短期金融风险进行了实际预测。通过对2002年269 d的实际市场运行数据的统计校验,发现采用VaR历史模拟方法预测次日的金融风险与实际运行结果相一致。因此,VaR历史模拟法能够较好地预测电网公司的电力市场短期金融风险。另外,采用该方法可以对次日平均清算电价在某一置信度下的上、下限做出较准确的估计,同时也可以对电网公司的毛利润和电费支出的上、下限等做出预测,对电网公司预测金融风险具有较好的指导意义。The principle of the well-developed VaR (value at risk) historical simulation method for evaluating financial risk is first introduced. Then, based on historical data of Zhejiang electricity market, the short-term financial risk of the grid company in next day could be predicted. Through comparisons with practical data of 269 days in 2002, it is found that the predicted financial risk by the presented method is consistent with the actual outcome. Therefore, the VaR historical simulation method can well predict short-term financial risk of the grid company in the electricity market. Moreover, this method could be used to estimate electricity price upper and lower limits of next day for a given confidence level, and the upper and lower limits of the gross profit and payment of the grid company as well. The proposed method provides a useful tool for grid companies to predict financial risks in electricity markets.

关 键 词：电力市场 金融风险 VAR 历史模拟法 计算 

分 类 号：F407.6[经济管理—产业经济]