电力价格风险评价与管理

发布时间：2018-05-10 20:35

本文选题：电力市场价格风险 + 风险评估　；参考：《武汉纺织大学》2015年硕士论文

【摘要】：近几年,电力价格风险的研究成为大家热议的一个问题,主要基于以下几个原因:一、作为一种商品,与传统的商品相比,电力则具有一些自身的特点:明显的季节性、极端高价格、强的波动性、具有重尾分布等特征。这些特征的存在使得在电力交易过程中存在某些局限性,同时并加大了电力价格的风险。二、电力价格的风险加大会影响使用的科学性,而电力价格的科学性又直接影响到电力资源使用是否合理。一旦电力市场发生金融风险,它对社会、经济各方面将会产生很大的负面影响,而这个影响将会比金融市场风险更为严重。电价是电力市场的一个重要的运行指标。从而,通过观察电价的变化情况可以了解电力市场目前的基本状况。三、中国电力市场还不成熟,存在一系列矛盾。中国电力产业市场化改革正在进行中,而这种改革仅仅局限于发电产业,但是尚未形成有效的发电市场。随着中国加入世界贸易组织,改革深化和对外开放程度也在扩大,然而,这种新电价的价格形成机制也带来了一系列的矛盾和问题。基于以上种种原因,各部门各机构迫切需要运用适当的方法和手段对价格风险进行有效的评价与控制,来减少各企业在电力市场中的损失。于是,本文研究的主要问题是如何有效地识别、评估、控制和避免电力市场金融风险。因为在不同的电力市场下,将会有不同的影响因素,从而电价的形成原因和机制就有所不同。所以,研究中需要针对电力市场不同的特点,寻找不同的电价特点,挖掘其主要影响因素,并分析或评估电力市场中的电力价格风险。本文通过讨论电力市场价格风险的形成和影响因素,详细地总结了风险评估、控制、规避、管理的理论和方法。最后,以山西吕梁电力公司为例,对所提出的VaR方法进行了实证分析。通过此研究,发电商可以准确的预测电力价格并做出竞标策略,而供电企业可掌握准确的电力价格信息并制定其电能需求在长期双边合同和现货市场中的最优购买及分配方案,而投资者则可以参考预测出的准确的电力价格信息做出正确的投资决策。
[Abstract]:In recent years, the study of electricity price risk has become a hot issue for everyone, mainly based on the following reasons: first, as a commodity, compared with traditional commodities, electricity has some characteristics: obviously seasonal. Extremely high prices, strong volatility, with heavy-tailed distribution and other characteristics. The existence of these features leads to some limitations in the process of electricity trading and increases the risk of electricity price. Second, the increase of the risk of electricity price will affect the scientific nature of the use of electricity, and the scientific nature of the electricity price will directly affect whether the use of power resources is reasonable or not. Once the financial risk occurs in the electricity market, it will have a great negative impact on all aspects of society and economy, and this impact will be more serious than the financial market risk. Electricity price is an important operating index of electricity market. Thus, by observing the change of electricity price, we can understand the current basic situation of electricity market. Third, China's electricity market is not mature, there are a series of contradictions. The market-oriented reform of China's electricity industry is under way, which is limited to the power generation industry, but has not yet formed an effective power generation market. With China's accession to the World Trade Organization, the degree of reform and opening to the outside world is also expanding. However, the price formation mechanism of this new electricity price also brings a series of contradictions and problems. For these reasons, all departments and institutions urgently need to use appropriate methods and means to effectively evaluate and control the price risk, in order to reduce the losses of enterprises in the electricity market. Therefore, the main problem of this paper is how to effectively identify, evaluate, control and avoid financial risks in electricity market. Because there will be different influencing factors in different electricity market, the formation and mechanism of electricity price will be different. Therefore, it is necessary to search for different characteristics of electricity price, excavate its main influencing factors, and analyze or evaluate the price risk of electricity market according to the different characteristics of electricity market. This paper discusses the formation and influence factors of price risk in electricity market, and summarizes the theory and method of risk assessment, control, avoidance and management in detail. Finally, taking Shanxi Lv Liang Electric Power Company as an example, this paper makes an empirical analysis of the proposed VaR method. Through this research, the power generation company can accurately predict the electricity price and make the bidding strategy, while the power supply enterprise can grasp the accurate electricity price information and formulate the optimal purchase and distribution scheme of its power demand in the long-term bilateral contract and spot market. Investors can make the right investment decision by referring to the accurate electricity price information.
【学位授予单位】：武汉纺织大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F426.61;F726

【参考文献】