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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 environment, on the one hand, the market price volatility is violent. The utility companies must consider the corresponding transaction risks while pursuing the profit maximization. On the other hand, the market provides a variety of trading ways for the generation companies to carry out the risk management . Therefore, it is necessary and possible to make full use of a variety of trading routes to establish a suitable risk management framework for power generation companies. Draw lessons from the widely used risk management methods in the financial sector, and propose a layered risk management framework for electricity trading of power generation companies in view of the various trading routes and corresponding risks in the existing electricity market. The framework includes the objectives and conditions of confirmation, risk control and risk assessment of three aspects. Among them, the risk control applies the risk aversion and the modern portfolio theory, and the risk assessment adopts the VaR (value at risk) method. The risk management framework helps power companies clear the trading objectives and formulates a power trading plan that takes into account the risk factors to minimize the overall transaction risk or to maximize their profits within the risk that the power generation company can afford. That is to achieve the purpose of risk management - profit maximization and risk minimization.