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电价的异常波动带来了巨大的金融风险,对金融风险进行评估具有重要的现实意义。在电力市场中,由于电价和供求等风险因子的相互影响,导致金融风险和技术风险密切相关,从而使得Monte-Carlo方法无法直接应用于金融风险的评估,其中技术风险主要是指反映电力供求状况的系统备用容量。系统剩余容量与电价的关系曲线可以解决风险因子之间的相关性问题,进而将系统中的技术风险和金融风险有机地结合在一起。引入系统剩余容量与电价的关系曲线,并基于Monte-Carlo方法进行建模,同时利用浙江电力市场实际运行数据进行试算,结果表明该模型是可行的,它在预测电价上下限方面比历史模拟法准确性更高,对电力市场中金融风险的预测和控制具有较好的参考价值。
Abnormal fluctuations in electricity prices have brought about huge financial risks. It has important practical significance to evaluate financial risks. In the electricity market, due to the mutual influence of electricity price, supply and demand and other risk factors, the financial risk and technology risk are closely related, which makes the Monte-Carlo method can not be directly applied to the assessment of financial risks. The technical risk mainly refers to the power supply and demand situation. System spare capacity. The relationship curve between system residual capacity and electricity price can solve the correlation problem between risk factors, and then combine the technical risk and financial risk in the system organically. The relationship curve between the remaining capacity of the system and the price of electricity is introduced, and the Monte-Carlo method is used for modeling. At the same time, the actual operation data of Zhejiang Electric Power Market is used for trial calculation. The results show that this model is feasible, and it is more accurate than historical simulation in predicting the upper and lower limits of electricity price. The method is more accurate and has good reference value for the prediction and control of financial risks in the electricity market.