Empirical Research on Financial Risks of Electricity Market in Eastern China

摘要

In the electricity market, the participants are expected to reap benefits from market, but also to face enormous financial risks by the fluctuations in electricity prices and, therefore, to assess the financial risks has an important practical significance. Taking historical simulation approach, parametric analysis method and portfolio theory to calculate the value of VaR based on the 3rd electrical test data of East China power market in 2008, the result of the analysis of probability distribution of electricity, price volatility and fluctuations in the cost of purchasing electricity from the peak period and valley period has a certain reference value.