电力市场环境下发电公司风险管理框架

A FRAMEWORK FOR GENERATION RISK MANAGEMENT IN ELECTRICITY MARKETS

在电力市场环境下,一方面,市场价格波动剧烈,发电公司在追求利润最大化的同时必须考虑相应的交易风险;另一方面,市场为发电公司提供了多种交易途径,以便其进行风险管理。因此,充分利用多种交易途径,为发电公司建立一个合适的风险管理框架是必需的,也是可能的。借鉴金融界广泛采用的风险管理方法,针对现有电力市场中各种交易途径及相应的风险,提出了一个用于发电公司电力交易的分层的风险管理框架。该框架包括目标及条件确认、风险控制和风险评估3个方面。其中,风险控制应用了风险规避及现代投资组合理论,风险评估采用VaR(value at risk)方法。该风险管理框架有助于发电公司明确交易目标,并制定计及风险因素的电能交易计划,从而在最大限度上降低整体交易风险,或者在发电公司可以承受的风险范围内使其利润最大化,即达到风险管理的目的——利润最大化和风险最小化。

In the electricity market, on the one side, a generation company (Genco) can trade its energy either in physical trading markets (e.g. spot market and forward contract market) or financial trading markets (e.g. futures market and options market). On the other side, the Genco's objective is to maximize its benefit and minimize the corresponding risk. In order to achieve this objective, it is necessary to develop an appropriate risk management scheme for trade by the Genco with full utilization of the multi-market environment. Based on the analyses to risks and trading environments in the electricity market, this paper develops a layered framework of risk management for energy trading by Gencos. The proposed framework of risk management includes objectives & constraints identification, risk control and risk assessment. Risk control strategies are proposed based on the modern portfolio theory. Risk assessment is conducted with the methodology of VaR (value at risk). This risk management framework should help a Genco to identify its objective and achieve an optimal trading schedule in markets involving risks.