市场环境下供电公司的电价风险控制优化模型

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1、华北电力大学博士学位论文AbstraCtElectrieityPriee15theeeonomieleverintheelectrieitymarketandthereformofeleetrieityPriee15thema.joreontentintheeleetrieitymarket.WiththefurtherdeePeningofthePowersystemreform，eleetrieityPrieeeanbedividedintogenerationPriee(eIcctrieityPurchasePrice)，transmissio

2、nanddistributionPriceandsalesPriee.GenerationPrieeandsalesPrieeareformedbymarketcomPetition，whosefluetuationwillbringriskstothePowersuPPlycorporation.TransmissionanddistributionPriee15regulatedbythegovern刀nent.AndifitnotreflecttheconstruetionandoPerationeostreasonablv.PowersuPP

3、lyeorporationWillalsosufferfromrisks.Undertheeleetrieitymarketenvironment，asanindePendenimarketParticiPant，PowersupPlycorporationWillmakedifferentdeeisionsonPurchasingandsellingelectrieityaccordingtodifferentconditionsinviewofbenefitmaximizationandriskminimi么ation.ThePaperdoesr

4、esearehesandtheinnovationsontheProblemsofelectrieityPrieerisksasfollows:Firstly，generalriskmanagementtheory15introdueed.AccordingtotheProceduresofgeneralriskmanagement，thetheoriesofriskidentifieation，riskassessmentandriskcontrolareillustrated，andtheiraPPlicationsinelectrieityPr

5、ieeriskmanagementinPowersuPPlycorPOrationarediseussed.Seeondly，fraetaltheoryisintrodueedwithitscorresPOndingeharacteristie九nction.BasedonthedataofgenerationPrieeinCaliforniaandPJMelectrieitymarket，thegenerationPri“obeysftactaldistributionresultingftomtheestimationofParametersin

6、fraetalcharacteristicfunctionsbystableProgram.ThenaccordingtothedefinitionandProPe咐3rofriskvalue，formulasofVaRriskmeas一，rement，CVaRriskmeasurementunderfraetaldistributionandfraetalealibrationPara幻neterriskmeasurementarededuced.BasedontraditionalPortfoliomodel，anoPtimalcombinati

7、onmodelofPurchasingeleetrieity15builtwithVaRriskmeasurementunderftactaldistribution，adynamieeombinationmodelofPurchasingeleetrieityonthebasisofCVaRriskmeasurementunderfraetaldistributionandaeombinationmodelofPurchasingeleetrieityonthebasisofadmissiblemean一ealibrationParametersi

8、nfraetaldistributiontheory.Also，theProblemofoPtimalqua