资源描述:
《风险价值法在电力市场财务风险分析中的应用【外文翻译】》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、本科毕业论文(设计)外文翻译原文一:ApplicationofVARinFinancialRiskAnalysisofElectricityMarketsAbstract:Inthispaper,thenecessitytostudyfinancialrisksinelectricitymarkets,theapplicationoftheValueatRisk(VaR)methodandthefeasibilityofhistoricalsimulationsarefirstlyintroduc
2、edanddiscussed.Thenthegrossprofit,dailyVaRandweeklyVaRmodelsofanelectricitycompany(theuniquebuyer)basedonpracticalconditionsoftheZhejiangelectricitymarketsarepresented,andthecorrespondingcomputationalresultsarereported.Furthermore,theapplicationofhist
3、oricalsimulationsinfinancialriskinvestigationsofelectricitymarketsisanalyzed,andtheinfluenceofthetwofactors(contractedpricePcandcontractratek)ofCFD(ContractForDifference)onthecompany’sgrossprofitanddailyVaRarediscussed.Thenumericalresultsrevealedthatt
4、hehistoricalsimulationissuitabletoanalyzeandtopredicttheshort-termfinancialrisk(nextdayornextweek)ofelectricitymarket.Itisintuitive,simpleandeasytoimplement.1.IntroductionTheworldwidereconstructionandderegulationofelectricityindustryisgivingrisetocomp
5、etitionsandvigortothepreviouslymonopolisticmarket.However,thesearealsoaccompaniedbyriskswhichhaveneverbeenexperiencedbymarketparticipants(electricitycompanies),especiallyintermsofthefluctuationoftheelectricityprice.Ascontrarytoothercommoditieselectric
6、itycannotbestoredandthereisaneedtomaintainaninstantaneousbalancebetweenthesupplyandconsumption.However,consumptionchangescannotbemeteasilyfromelectricitystorages.Sotheequilibriumpriceofelectricitymarketswillvarystochasticallyastheloadchanges.Therefore
7、,therewillbedrasticjumpingorpeakcharacteristicsinelectricitypriceduetothelimitationinpowergenerationandoutputcapacities.Becauseofthemonopolyofelectricitymarkets,someelectricityproducersmaydominatetheprices,whichwillmakethepricevariationcomplicated.Mor
8、eover,thetendencyofcommoditizationintheelectricityindustryareaggravatingtherisksinthewholeelectricitysystem.Therisksincludetraditionaltechnicalrisks,moreimportantly,thevastfinancialriskfrommarketprices.Alltheserisksmayoccursimultaneouslyandaff