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基于Copula的电力市场金融风险分析 被引量:5

Financial Risk Analysis of Electricity Market by a Copula Based Approach
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摘要 电力市场中,市场在给参与者带来预期利益的同时,也使其面临巨大的金融风险,因此,对金融风险进行评估具有重要的现实意义.本文考虑影响电力公司毛利润的各种因素及它们之间的相关性,提出了利用Copula函数计算电力市场VaR的方法,很好的解决了电价和负荷的相关性问题,并结合实例进行分析计算. In the electricity market, the market can bring not only expected income for participants, but also enormous financial risk. So evaluation on financial risk is of great importance. Considering various kinds of factors that influence the gross profit of Utilities Electric Co. and their pertinence, this paper brings forward a Copula based approach to calculate VaR of electricity market, solves the relativity problem of forecast load and electricity price. Based on the data of the electricity market, the analysis result shows that the model is feasible.
作者 钟波 李华民
出处 《山西师范大学学报(自然科学版)》 2007年第2期15-19,共5页 Journal of Shanxi Normal University(Natural Science Edition)
关键词 电力市场 金融风险 风险价值(VaR) COPULA electricity market financial risk VaR( Value at Risk) Copula
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