电力市场下电网公司的金融风险管理
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摘要
电力市场中,电网公司以自身利益最大化为行动导向,在获得预期利润的同时,也可能面临着金融风险。因此,电力市场中的金融风险管理对电网公司是十分必要的。电价作为电力市场的核心问题之一,其异常波动是导致金融风险发生的主要原因。本文工作围绕电价的波动——电网公司金融风险——风险值VAR——风险管理展开。
首先介绍了金融衍生产品的基本种类和概念,对远期合约、期货合约和期权合约在电力市场中的应用进行了研究。讨论了电力金融衍生产品市场的风险特征和金融风险的种类,并在此基础上研究了电力市场下电网公司的金融风险。
给出了风险值VaR的定义,介绍了VaR的三种基本计算方法:参数法、历史模拟法和蒙特卡罗模拟法,并介绍了VaR的准确性校验。
现货市场和远期市场电价的波动给购电商带来了金融风险。文中选择目标函数为风险值VaR最小,用简单的方法综合考虑总费用最少和风险最小,研究了现货市场和远期市场的购电比例问题,给出了问题的解析解并针对实际市场数据进行了验证,算例表明了方法的正确性。
通过风险值VaR分析了预测负荷不确定性的概率性而直接导致的不确定性电价这一新问题。文中引入预测负荷-电价关系,并利用蒙特卡罗方法建立风险评估模型,计算出基于预测负荷不确定性的电价VaR值,从而合理地预测电价,为市场参与者更好地把握市场的发展规律提供依据。
Grid corporations always think about how to maximize their profits. However, in the market there exist not only expected profits, but also enormous financial risks. Therefore, it is critical for grid corporations to manage potential financial risks. Fluctuation of the electricity price, which is one of the kernel questions in the market, often results in financial risk. This thesis will discuss grid corporations’financial risks based on fluctuation of the electricity price, and calculate the Value at Risk, and then bring about a strategy to manage the risks.
Basic categories and concepts of financial derivatives are introduced at first, and then applications of forward contracts, future contracts and option contracts to the power market are discussed. The grid corporations’financial risks are also presented based on the research of the financial risks and their categories in derivatives market.
In this thesis, the definition of VaR and two methods for calculating called historic simulation and Monte Carlo simulation are presented successively, and then veracity verify of VaR is discussed.
The difference of price fluctuations between in future market and in spot market causes vast financial risks for power suppliers. This thesis gives a model by calculating VaR, which select an objective function of minimum VaR, and discuss electricity purchasing in two markets at the optimization of total cost and risks. Analytical solutions are obtained and the numerical simulation results are presented with the actual market data.
At last electricity price uncertain due to load forecast uncertainty is analyzed through VAR calculation. In order to obtain the relation of load forecast and electricity price, Monte-Carlo Method is used in the modeling of risk evaluation. The VaR of price based on load forecast uncertainty is calculated, and the reasonable price with the minimum risks is obtained.
首先介绍了金融衍生产品的基本种类和概念,对远期合约、期货合约和期权合约在电力市场中的应用进行了研究。讨论了电力金融衍生产品市场的风险特征和金融风险的种类,并在此基础上研究了电力市场下电网公司的金融风险。
给出了风险值VaR的定义,介绍了VaR的三种基本计算方法:参数法、历史模拟法和蒙特卡罗模拟法,并介绍了VaR的准确性校验。
现货市场和远期市场电价的波动给购电商带来了金融风险。文中选择目标函数为风险值VaR最小,用简单的方法综合考虑总费用最少和风险最小,研究了现货市场和远期市场的购电比例问题,给出了问题的解析解并针对实际市场数据进行了验证,算例表明了方法的正确性。
通过风险值VaR分析了预测负荷不确定性的概率性而直接导致的不确定性电价这一新问题。文中引入预测负荷-电价关系,并利用蒙特卡罗方法建立风险评估模型,计算出基于预测负荷不确定性的电价VaR值,从而合理地预测电价,为市场参与者更好地把握市场的发展规律提供依据。
Grid corporations always think about how to maximize their profits. However, in the market there exist not only expected profits, but also enormous financial risks. Therefore, it is critical for grid corporations to manage potential financial risks. Fluctuation of the electricity price, which is one of the kernel questions in the market, often results in financial risk. This thesis will discuss grid corporations’financial risks based on fluctuation of the electricity price, and calculate the Value at Risk, and then bring about a strategy to manage the risks.
Basic categories and concepts of financial derivatives are introduced at first, and then applications of forward contracts, future contracts and option contracts to the power market are discussed. The grid corporations’financial risks are also presented based on the research of the financial risks and their categories in derivatives market.
In this thesis, the definition of VaR and two methods for calculating called historic simulation and Monte Carlo simulation are presented successively, and then veracity verify of VaR is discussed.
The difference of price fluctuations between in future market and in spot market causes vast financial risks for power suppliers. This thesis gives a model by calculating VaR, which select an objective function of minimum VaR, and discuss electricity purchasing in two markets at the optimization of total cost and risks. Analytical solutions are obtained and the numerical simulation results are presented with the actual market data.
At last electricity price uncertain due to load forecast uncertainty is analyzed through VAR calculation. In order to obtain the relation of load forecast and electricity price, Monte-Carlo Method is used in the modeling of risk evaluation. The VaR of price based on load forecast uncertainty is calculated, and the reasonable price with the minimum risks is obtained.
引文
[1] 王锡凡.电力市场基础.西安交通大学出版社,2003
[2] 赵遵廉.电力市场运营系统.北京:中国电力出版社,2001
[3] 于尔铿等.电力市场.北京: 中国电力出版社,2000
[4] (英)马克.洛尔,列夫.博罗多夫斯基著,陈斌译.金融风险管理手册.机械工业出版社,2002.1
[5] (美)菲利普.乔瑞著,张海鱼等译. VAR:风险价值—金融风险管理新标准.中信出版社,2001
[6] (意) 皮埃特罗·潘泽,(美) 维普·K·班塞尔著. 用 VAR 度量市场风险.机械工业出版社,2001
[7] 李辉华, 苏慧文.金融风险识别与对策.北京经济学院出版社,1996
[8] (美)John C.Hull 著,张陶伟译.期权、期货和其他衍生产品.华夏出版社,2000.
[9] (英)Cormac Butler 著,于研等译.风险值概论.上海财经大学出版社,2002.
[10] 李灿.联营体模式电力市场的竞价交易理论及其结构设计. 东南大学博士学位论文. 南京:东南大学,2002
[11] 言茂松. 当量电价与融资重组—我国电力市场的理论与方法之一. 中国电力出版社,2000
[12] 王锡凡. 电力系统规划基础.水利电力出版社,1993
[13] 徐南荣,仲俊伟编著. 现代决策理论与方法.南京:东南大学出版社,2001
[14] 宋承先著.现代西方经济学—微观经济学.复旦大学出版社,1997
[15] The New IEEE Standard Dictionary of Electrical and Electronic Terms. 5thed. 1993
[16] 汤振飞,唐国庆,于尔铿等. 电力市场动态分析.中国电机工程学报,2001,21(12):88-92
[17] 张少华, 李渝曾. 电力市场中的远期合同交易.电力系统自动化,2001 ,25 (10):6 – 10
[18] 肖国泉, 王春, 张福伟. 电力负荷预测. 中国电力出版社.2000
[19] 汤振飞, 于尔铿, 唐国庆,刘福斌. 基于风险管理的电力市场安全服务定价.电力系统自动化, 2001,12,pp.12-16
[20] 白利超,康重庆,夏清等.不确定性电价分析. 中国电机工程学报,2002,22(5):36-41
[21] 周浩,陈建华,孙维真.电力市场中的电价分析与调控. 电网技术,2004,28(6):37-40
[22] 刘亚安,管晓宏.考虑风险因素的两市场购电优化分配问题.电力系统自动化,2002(5),41-44
[23] 刘亚安,管晓宏. Price-taker在两个电力市场中的交易决策.电力系统自动化,2004,28(16):13-15
[24] 周浩,康建伟,韩祯祥等.利用系统剩余容量评估电力市场短期金融风险.电力系统自动化,2004,28(23):6-10
[25] John C. Hull . Options Futures, &Other Derivatives. New Jersey:Prentice Hall,1985
[26] Shing-Hoi Lee,Peter W. Glynn. Computing the distribution function of a conditional expectation via Monte Carlo: Discrete conditioning spaces. Proceedings of the 1999 winter simulation conference.
[27] Stanislav Uryasev Center for Applied Optimization. Conditional Value-at-Risk: Optimization Algorithms and Applications.University of Florrida,Dept. of ISE,2002
[28] Nicolas Chapados.Cost functions and model combination for VaR-based asset allocation using neural networks. IEEE Transactins on Neural Networks,Vol. 12,no. 4,July 2001
[29] Jianqing Fan,Juan Gu. Data-analytic Approaches to the Estimation of Value-at-Risk.
[30] John C. Cox ,Mark Rubinstein. Options Markets. New Jer-sey : Prentice Hall , 1985
[31] 李扬.电力市场竞争环境下负荷管理理论研究. 东南大学博士学位论文, 2002
[32] 刘福斌.基于风险的电力系统安全评估决策和市场运作.东南大学博士学位论文,2003
[33] Chi-keung Woo. What went wrong in California’s Electricity Market. Enery 2001, 26 : 747 - 758
[34] Gedra T. W. Optional Forward Contracts for Electric Power Markets. IEEE Trans on Power Systems , 1994,9 (4):1766 - 1773
[35] Isaac J.Chang,Andreas S.Weigend.Nonlinear prediction of conditional percentile for Value-at-Risk
[36] Bjorgan R,Liu C,Lawarree J.Financial risk management in a competitive electricity market[J].IEEE Trans.Power System,1999,(14);1285-1291
[37] Andrews C.Evaluating risk management strategies in resource planning[J].IEEE trans.Power System.1995,(10):420-426
[38] Song H.Optimal strategies for electric energy contract decision making[D].Ph.D.dissertation,Department of Electrical Engineering,Univ.Washington,Seattle.WA.2000
[39] Shrnuel S.Oren.Integraing real and financial options in demand-side electricity contracts[J].Decision Support System,2001,(30):279-288.
[40] Anders G,Entriken R,Nitu P.Risk assessment and financial management tutorial[C].in Proc.IEEE Power Eng. Soc. Winter Meeting,2002,TP-137-0
[41] Iivo Vehvilainen,Jussi Keppo. Managing electricity market price risk[J].Europe an Journal of Operational Research,2003,(145);137-147
[42] Alex Henney,Greg Keers.Management total corporate electricity/energy market risks[J].The electricity Journal.Oct.1998,11(8):36-46.
[43] Michael Denton,Adrian Palmer.Ralph Masielli,et al.Managing market risk in energy[J].IEEE Tans.Power System,2003,18(2):494-502
[44] Robert Dahlgren,Chen-Ching Liu,Jacq-ucs Lawarree.Risk assessment in energy trading[J].IEEE Trans.Power System,2003,18(2):503-511.
[45] Gedra T. W, Varaiya P. P. Markets and Pricing for Interruptible Electric Power. IEEE Trans on Power Systems, 1993, 8 (1) :122 – 128
[46] 张少华.结合期权理论的双边可选择电力远期合同模型. 电力系统自动化,2001,10,pp.28-32
[47] 赵学顺,黄民翔,韩祯祥. 电力市场中风险规避问题的研究(一)——不同电力市场阶段风险规避模型. 电力系统自动化,2001,4,pp.14-20
[48] 赵学顺. 电力市场中风险规避问题的研究(二)——差价合约分析系统的实现. 电力系统自动化,2001,4,pp.16-19
[49] 王永干,刘宝华.国外电力工业体制与改革.北京:中国电力出版社,2001
[50] 王春峰.金融市场风险管理.天津大学出版社,2002.12
[51] 刘亚安,管晓宏.电力市场电价飞升机理分析.中国电力,2001,Vol.24,No.8
[2] 赵遵廉.电力市场运营系统.北京:中国电力出版社,2001
[3] 于尔铿等.电力市场.北京: 中国电力出版社,2000
[4] (英)马克.洛尔,列夫.博罗多夫斯基著,陈斌译.金融风险管理手册.机械工业出版社,2002.1
[5] (美)菲利普.乔瑞著,张海鱼等译. VAR:风险价值—金融风险管理新标准.中信出版社,2001
[6] (意) 皮埃特罗·潘泽,(美) 维普·K·班塞尔著. 用 VAR 度量市场风险.机械工业出版社,2001
[7] 李辉华, 苏慧文.金融风险识别与对策.北京经济学院出版社,1996
[8] (美)John C.Hull 著,张陶伟译.期权、期货和其他衍生产品.华夏出版社,2000.
[9] (英)Cormac Butler 著,于研等译.风险值概论.上海财经大学出版社,2002.
[10] 李灿.联营体模式电力市场的竞价交易理论及其结构设计. 东南大学博士学位论文. 南京:东南大学,2002
[11] 言茂松. 当量电价与融资重组—我国电力市场的理论与方法之一. 中国电力出版社,2000
[12] 王锡凡. 电力系统规划基础.水利电力出版社,1993
[13] 徐南荣,仲俊伟编著. 现代决策理论与方法.南京:东南大学出版社,2001
[14] 宋承先著.现代西方经济学—微观经济学.复旦大学出版社,1997
[15] The New IEEE Standard Dictionary of Electrical and Electronic Terms. 5thed. 1993
[16] 汤振飞,唐国庆,于尔铿等. 电力市场动态分析.中国电机工程学报,2001,21(12):88-92
[17] 张少华, 李渝曾. 电力市场中的远期合同交易.电力系统自动化,2001 ,25 (10):6 – 10
[18] 肖国泉, 王春, 张福伟. 电力负荷预测. 中国电力出版社.2000
[19] 汤振飞, 于尔铿, 唐国庆,刘福斌. 基于风险管理的电力市场安全服务定价.电力系统自动化, 2001,12,pp.12-16
[20] 白利超,康重庆,夏清等.不确定性电价分析. 中国电机工程学报,2002,22(5):36-41
[21] 周浩,陈建华,孙维真.电力市场中的电价分析与调控. 电网技术,2004,28(6):37-40
[22] 刘亚安,管晓宏.考虑风险因素的两市场购电优化分配问题.电力系统自动化,2002(5),41-44
[23] 刘亚安,管晓宏. Price-taker在两个电力市场中的交易决策.电力系统自动化,2004,28(16):13-15
[24] 周浩,康建伟,韩祯祥等.利用系统剩余容量评估电力市场短期金融风险.电力系统自动化,2004,28(23):6-10
[25] John C. Hull . Options Futures, &Other Derivatives. New Jersey:Prentice Hall,1985
[26] Shing-Hoi Lee,Peter W. Glynn. Computing the distribution function of a conditional expectation via Monte Carlo: Discrete conditioning spaces. Proceedings of the 1999 winter simulation conference.
[27] Stanislav Uryasev Center for Applied Optimization. Conditional Value-at-Risk: Optimization Algorithms and Applications.University of Florrida,Dept. of ISE,2002
[28] Nicolas Chapados.Cost functions and model combination for VaR-based asset allocation using neural networks. IEEE Transactins on Neural Networks,Vol. 12,no. 4,July 2001
[29] Jianqing Fan,Juan Gu. Data-analytic Approaches to the Estimation of Value-at-Risk.
[30] John C. Cox ,Mark Rubinstein. Options Markets. New Jer-sey : Prentice Hall , 1985
[31] 李扬.电力市场竞争环境下负荷管理理论研究. 东南大学博士学位论文, 2002
[32] 刘福斌.基于风险的电力系统安全评估决策和市场运作.东南大学博士学位论文,2003
[33] Chi-keung Woo. What went wrong in California’s Electricity Market. Enery 2001, 26 : 747 - 758
[34] Gedra T. W. Optional Forward Contracts for Electric Power Markets. IEEE Trans on Power Systems , 1994,9 (4):1766 - 1773
[35] Isaac J.Chang,Andreas S.Weigend.Nonlinear prediction of conditional percentile for Value-at-Risk
[36] Bjorgan R,Liu C,Lawarree J.Financial risk management in a competitive electricity market[J].IEEE Trans.Power System,1999,(14);1285-1291
[37] Andrews C.Evaluating risk management strategies in resource planning[J].IEEE trans.Power System.1995,(10):420-426
[38] Song H.Optimal strategies for electric energy contract decision making[D].Ph.D.dissertation,Department of Electrical Engineering,Univ.Washington,Seattle.WA.2000
[39] Shrnuel S.Oren.Integraing real and financial options in demand-side electricity contracts[J].Decision Support System,2001,(30):279-288.
[40] Anders G,Entriken R,Nitu P.Risk assessment and financial management tutorial[C].in Proc.IEEE Power Eng. Soc. Winter Meeting,2002,TP-137-0
[41] Iivo Vehvilainen,Jussi Keppo. Managing electricity market price risk[J].Europe an Journal of Operational Research,2003,(145);137-147
[42] Alex Henney,Greg Keers.Management total corporate electricity/energy market risks[J].The electricity Journal.Oct.1998,11(8):36-46.
[43] Michael Denton,Adrian Palmer.Ralph Masielli,et al.Managing market risk in energy[J].IEEE Tans.Power System,2003,18(2):494-502
[44] Robert Dahlgren,Chen-Ching Liu,Jacq-ucs Lawarree.Risk assessment in energy trading[J].IEEE Trans.Power System,2003,18(2):503-511.
[45] Gedra T. W, Varaiya P. P. Markets and Pricing for Interruptible Electric Power. IEEE Trans on Power Systems, 1993, 8 (1) :122 – 128
[46] 张少华.结合期权理论的双边可选择电力远期合同模型. 电力系统自动化,2001,10,pp.28-32
[47] 赵学顺,黄民翔,韩祯祥. 电力市场中风险规避问题的研究(一)——不同电力市场阶段风险规避模型. 电力系统自动化,2001,4,pp.14-20
[48] 赵学顺. 电力市场中风险规避问题的研究(二)——差价合约分析系统的实现. 电力系统自动化,2001,4,pp.16-19
[49] 王永干,刘宝华.国外电力工业体制与改革.北京:中国电力出版社,2001
[50] 王春峰.金融市场风险管理.天津大学出版社,2002.12
[51] 刘亚安,管晓宏.电力市场电价飞升机理分析.中国电力,2001,Vol.24,No.8