Empirical Research on Financial Risks of Electricity Market in Eastern China

摘要：

In the electricity market, the participants are expected to reap benefits from market, but also to face enormous financial risks by the fluctuations in electricity prices and, therefore, to assess the financial risks has an important practical significance. Taking historical simulation approach, parametric analysis method and portfolio theory to calculate the value of VaR based on the 3rd electrical test data of East China power market in 2008, the result of the analysis of probability distribution of electricity, price volatility and fluctuations in the cost of purchasing electricity from the peak period and valley period has a certain reference value.

关键词： Power Market Value-at-risk (VaR) Historical Simulation Approach Parameter Analysis Method Portfolio

作者: LI Jiang SHI Quansheng LIU Guisheng

作者单位: Shanghai University of Electric Power, Power finance research center, Shanghai 200090

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-8

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）