基于非线性动力学特征的供电公司风险度量指标设计

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。

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

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-at-risk(VaR),and the width of fluctuation risk by standard deviation rate,and the lasting degr...