電力市場下電網(wǎng)公司的金融風(fēng)險管理.pdf

1、東南大學(xué)碩士學(xué)位論文電力市場下電網(wǎng)公司的金融風(fēng)險管理姓名：陳霄申請學(xué)位級別：碩士專業(yè)：電力系統(tǒng)及其自動化指導(dǎo)教師：李揚20050331Ab虬ractFinancialRiskManagementforGridCorporationinPowerMarketAbstractGridcorperationsalwaystllinkabouthowtomaximizetheirprofitsHoweverinthemarketthereexi

2、stnotonlyexpectedprofits，butalsoerlormoasfmancialrisksTherefore，itiscriticalfor酣dcorporationstomanagepotentialfmancialrisks，F(xiàn)luctuationoftheeleetrlciryprice，whichisOneofthekernelquestionsinthemarket，oftenresultsinfinanci

3、alriskThisthesiswilldiscuss鰣dcorporations’financialrisksbasedonfluctuationoftheelectricitypriceandcalculatetheV砒ueatRisk。andthenbringaboutastrategytomanagetherisl(sBasiccategoriesandconceptsoffinancialderivativesareintro

4、ducedatfirst，andthenapplieatinnsofforwardcontracts，futurecontractsandoptioncontractstothepowermarketarediscussedThegridcorporations’financialrisksarealsopresentedbasedontheresearchofthefinancialrisksandtheircategoriesind

5、erivativesmarket，Inthisthesis，thedefinitionofVaRandtwomethodsforcalculatingcalledhistoricsimulationandMonteCarlosimulationarepresentedsuccessively，andthenveracityverifyofVaRisdiscussedThedifferenceofpricefluctuationsbetw

6、eeninfuturemarketandinspotmarketcausesvastfinancialrisksforpowersuppliersThisthesisgivesamodelbycalculatIngVaR，whichselectanobjectivefunctionofminimumVaganddiscusselectricitypurchasingintwomarketsattheoptimizationoftotal

7、COStandrisksAnalyticalsolutionsareobtainedandthenumericalsimulationresultsarepresentedwiththeactualmarketdataAtlastelectricitypricetmcertaInduetoloadforecastuncertaintyisanalyzedthroughVARcalculationInordertoobtaintherel

8、ationofloadforecastandelectricityprice，MonteCarloMethodisusedinthemodelingofriskevaluationTheVaRofpricebasedonloadforecastuncertaintyiscalculated，andthereasonablepricewiththeminimumrisksisobtainedKeywords：Powermarket；Gri