风险价值法在电力市场财务风险分析中的应用【外文翻译】.doc

最新精品文档，知识共享！ 本科毕业论文（设计） 外 文 翻 译 原文一： Application of VAR in Financial Risk Analysis of Electricity Markets Abstract: In this paper, the necessity to study financial risks in electricity markets, the application of the Value at Risk (VaR) method and the feasibility of historical simulations are firstly introduced and discussed. Then the gross profit, daily VaR and weekly VaR models of an electricity company (the unique buyer) based on practical conditions of the Zhejiang electricity markets are presented, and the corresponding computational results are reported. Furthermore, the application of historical simulations in financial risk investigations of electricity markets is analyzed, and the influence of the two factors (contracted price Pc and contract rate k) of CFD (Contract For Difference) on the company’s gross profit and daily VaR are discussed. The numerical results revealed that the historical simulation is suitable to analyze and to predict the short-term financial risk (next day or next week) of electricity market. It is intuitive, simple and easy to implement. 1. Introduction The worldwide reconstruction and deregulation of electricity industry is giving rise to competitions and vigor to the previously monopolistic market. However, these are also accompanied by risks which have never been experienced by market participants (electricity companies), especially in terms of the fluctuation of the electricity price. As contrary to other commodities electricity cannot be stored and there is a need to maintain an instantaneous balance between the supply and consumption. However, consumption changes cannot be met easily from electricity storages. So the equilibrium price of electricity markets will vary stochastically as the load changes. Therefore, there will be drastic jumping or peak characteristics in electricity price due to the limitation in power generation and output capacities. Because of the monopoly of electricity markets, some electricity producer