本文選題：電力市場價格風(fēng)險 + 風(fēng)險評估　； 參考：《武漢紡織大學(xué)》2015年碩士論文

【摘要】：近幾年,電力價格風(fēng)險的研究成為大家熱議的一個問題,主要基于以下幾個原因:一、作為一種商品,與傳統(tǒng)的商品相比,電力則具有一些自身的特點:明顯的季節(jié)性、極端高價格、強(qiáng)的波動性、具有重尾分布等特征。這些特征的存在使得在電力交易過程中存在某些局限性,同時并加大了電力價格的風(fēng)險。二、電力價格的風(fēng)險加大會影響使用的科學(xué)性,而電力價格的科學(xué)性又直接影響到電力資源使用是否合理。一旦電力市場發(fā)生金融風(fēng)險,它對社會、經(jīng)濟(jì)各方面將會產(chǎn)生很大的負(fù)面影響,而這個影響將會比金融市場風(fēng)險更為嚴(yán)重。電價是電力市場的一個重要的運(yùn)行指標(biāo)。從而,通過觀察電價的變化情況可以了解電力市場目前的基本狀況。三、中國電力市場還不成熟,存在一系列矛盾。中國電力產(chǎn)業(yè)市場化改革正在進(jìn)行中,而這種改革僅僅局限于發(fā)電產(chǎn)業(yè),但是尚未形成有效的發(fā)電市場。隨著中國加入世界貿(mào)易組織,改革深化和對外開放程度也在擴(kuò)大,然而,這種新電價的價格形成機(jī)制也帶來了一系列的矛盾和問題�；谝陨戏N種原因,各部門各機(jī)構(gòu)迫切需要運(yùn)用適當(dāng)?shù)姆椒ê褪侄螌r格風(fēng)險進(jìn)行有效的評價與控制,來減少各企業(yè)在電力市場中的損失。于是,本文研究的主要問題是如何有效地識別、評估、控制和避免電力市場金融風(fēng)險。因為在不同的電力市場下,將會有不同的影響因素,從而電價的形成原因和機(jī)制就有所不同。所以,研究中需要針對電力市場不同的特點,尋找不同的電價特點,挖掘其主要影響因素,并分析或評估電力市場中的電力價格風(fēng)險。本文通過討論電力市場價格風(fēng)險的形成和影響因素,詳細(xì)地總結(jié)了風(fēng)險評估、控制、規(guī)避、管理的理論和方法。最后,以山西呂梁電力公司為例,對所提出的VaR方法進(jìn)行了實證分析。通過此研究,發(fā)電商可以準(zhǔn)確的預(yù)測電力價格并做出競標(biāo)策略,而供電企業(yè)可掌握準(zhǔn)確的電力價格信息并制定其電能需求在長期雙邊合同和現(xiàn)貨市場中的最優(yōu)購買及分配方案,而投資者則可以參考預(yù)測出的準(zhǔn)確的電力價格信息做出正確的投資決策。
[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.
【學(xué)位授予單位】：武漢紡織大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F426.61;F726

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本文編號：1870793