摘要
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 ,提出了计算电力市场 Va R的分析法——Delta类模型 ,并结合浙江省的具体情况 。
With the acceleration of paces to construct electricity market and commercial run of electricity industry,a great attention has been paid to the vast financial risk due to the drastic fluctuation of electricity price.How to make an accurate assessment on financial risks of electricity market has become a urgent and important problem,it will be beneficial to help the supervision department manage market behavior effectively.Considering various kinds of factors that influence the gross profit of Utilities Electric Co.and their pertinence,this paper brings forward analytical approach—Delta model to calculate VaR of electricity market.Corresponding computing results of a certain day is given combining the concrete condition of Zhejiang electricity market.
出处
《电力系统及其自动化学报》
CSCD
2004年第3期23-28,共6页
Proceedings of the CSU-EPSA
关键词
电力市场
金融风险
分析法
相关性
毛利润
electricity market
financial risks
analytical approach
pertinence
gross profit
