基于Delta模型的水电厂短期金融风险评估

Evaluting short-term financial risk based on Delta model for hydropower plants

评估因径流和电价的不确定性带来的风险,是水电厂在参与电力市场竞争必须考虑的一个重要问题。考虑影响水电厂收益的各种风险,主要包括水电厂参与竞价的电价风险和由于季节等因素引起的电量不确定性风险及它们之间的相关性,提出了计算电力市场VaR的方差-协方差参数法模型并结合具体实例对水电厂的收益进行了短期金融风险评估。分析结果表明,方差-协方差参数法能较好预测第二天竞价机组的清除电价,为水电厂更准确地降低收益风险值打好基础。

It is important for hydropower plants to assess the risk from the uncertainty of inflow and power price in the electricity market.Considering electricity price risk caused by bidding price and energy-uncertainty risk caused by season factors that influence the profit of hydropower plants and their pertinence,this paper puts forword variance-covariance parameter approach of value at risk（VaR） combining the concrete example to assess the short-term financial risk for income of the certain hydropower plants.The analysis shows that variance-covariance parameter approach can forecast precisely clearing price of bidding units the day after to lay a good foundation for decline return risk of hydropower plants.