Risk management in a competitive electricity market

被引：40
作者：
Liu, Min [1 ]
Wu, Felix F.
机构：
[1] Guizhou Univ, Fac Elect Engn, Guiyang 550003, Guizhou, Peoples R China
[2] Univ Hong Kong, Dept Elect & Elect Engn, Hong Kong, Hong Kong, Peoples R China
来源：
INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS | 2007年 / 29卷 / 09期
关键词：
risk management; Mean-variance portfolio theory; Value at risk;
D O I：
10.1016/j.ijepes.2007.05.003
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In a competitive electricity market, it is necessary and important to develop an appropriate risk management scheme for trade with full utilization of the multi-market environment in order to maximize participants' benefits and minimize the corresponding risks. Based on the analyses to trading environments and risks in the electricity market, a layered framework of risk management for electric energy trading is proposed in this paper. Simulation results confirmed that trading among multiple markets is helpful to reduce the complete risk, and VaR provides a useful approach to judge whether the formed risk-control scheme is acceptable. (C) 2007 Elsevier Ltd. All rights reserved.
引用
收藏
页码：690 / 697
页数：8
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