In the electricity market, on the one side, a generation company (Genco) can trade its energy either in physical trading markets (e.g. spot market and forward contract market) or financial trading markets (e.g. futures market and options market). On the other side, the Genco’s objective is to maximize its benefit and minimize the corresponding risk. In order to achieve this objective, it is necessary to develop an appropriate risk management scheme for trade by the Genco with full utilization of the multi-market environment. Based on the analyses to risks and trading environments in the electricity market, this paper develops a layered framework of risk management for energy trading by Gencos. The proposed framework of risk management includes objectives & constraints identification, risk control and risk assessment. Risk control strategies are proposed based on the modern portfolio theory. Risk assessment is conducted with the methodology of VaR (value at risk). This risk management framework should help a Genco to identify its objective and achieve an optimal trading schedule in markets involving risks.
在電力市場環境下,一方面,市場價格波動劇烈,發電公司在追求利潤最大化的同時必須考慮相應的交易風險;另一方面,市場為發電公司提供了多種交易途徑,以便其進行風險管理。因此,充分利用多種交易途徑,為發電公司建立一個合適的風險管理框架是必需的,也是可能的。借鑒金融界廣泛采用的風險管理方法,針對現有電力市場中各種交易途徑及相應的風險,提出了一個用于發電公司電力交易的分層的風險管理框架。該框架包括目標及條件確認、風險控制和風險評估3個方面。其中,風險控制應用了風險規避及現代投資組合理論,風險評估采用VaR(value at risk)方法。該風險管理框架有助于發電公司明確交易目標,并制定計及風險因素的電能交易計劃,從而在最大限度上降低整體交易風險,或者在發電公司可以承受的風險范圍內使其利潤最大化,即達到風險管理的目的——利潤最大化和風險最小化
