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价差风险对零售市场的稳定运行和企业的稳健经营影响很大。零售商必须构建价差风险管理体系才能对风险进行系统、有效的管理。在从概率论角度准确定义价差风险的基础上,运用非寿险精算原理,进一步定义了零售平均价格的精算值。精算值把零售平均价格分为精算值和风险溢价。根据零售企业风险偏好,价差风险溢价又可分为价差风险管理所需要的风险资本和价差风险报酬。价差风险资本的份额大小由安全附加系数测量。以风险资本与价差风险水平的对应关系为核心,以电力市场衍生合同和企业自身的价差风险准备金为风险控制手段,建立价差风险管理体系的初步框架。模拟结果显示,安全附加系数的增加明显使价差风险降低,降低的速度是先快后慢;电力终端需求量与批发市场电价的相关性越大,安全附加系数对价差风险管理效率越高。
The spread risk has a great impact on the stable operation of the retail market and the steady operation of the enterprise. Retailers must build a spread risk management system to manage the risks systematically and effectively. Based on the accurate definition of the spread risk from the perspective of probability theory, the non-life actuarial principle is used to further define the actuarial value of the average retail price. Actuarial values divide the average retail price into actuarial values and risk premiums. According to the retailer’s risk appetite, the spread risk premium can be divided into risk capital and spread risk compensation needed for spread risk management. The size of the spread risk capital is measured by the safety extras. Taking the correspondence between risk capital and spread risk level as the core, a preliminary framework of spread risk management system is established based on derivative contracts of power market and the enterprise’s own spread risk reserve as risk control measures. The simulation results show that the increase of safety additional coefficient significantly reduces the risk of spread, the speed of reduction is the first fast and then slow; the greater the correlation between the demand of terminal power and wholesale market price, the higher the efficiency of safety additional coefficient to spread risk management.