In the electricity market, the uncertainty of electric quantity and price is the ultimate form of electricity market risk. This paper analyzes the risk of Power Gird Company (PGC) in the Direct Electricity Purchasing (DEP) in terms of policy risks, market risks and operational risks, which shows that the three risks influence and control each other. A risk control and assessment model for PGC based on utility function and Value at Risk (VAR) is proposed by refering to modem investment combination theory in financial field, and also the concept of transfer factor is presented. The calculation results show that the proposed model can truly reflect the essential market risks that PGC faces in the DEP process. Meanwhile, the proposed transfer factor provides a quantitative tool for PGC in the DEP environment and it is pointed out that PGC can benefit from DEP through appropriate risk control methods. Finally,a framework for risk management is proposed, which can help PGC to achieve its business objectives of maximizing its benefits and minimizing the corresponding risks.%电力市场环境下,电量和电价的不确定性为市场风险的最终表现形式.以电网公司为研究对象,从政策风险、运营风险和运行风险三个方面分析了在直购电过程中其可能面临的潜在风险,强调三种风险是相互影响和制约的.借鉴金融领域的现代投资组合理论,建立了基于效用函数和VaR(Value at Risk)的电网公司考虑直购电的风险控制和评估模型,提出了转运因子的概念.算例结果表明,该模型能够有效地反映在直购电过程中电网公司所面临的市场风险的本质,同时转运因子的提出则为电网公司提供了一个量化直购电风险的工具,指出其在通过合理风险控制办法的同时可由直购电而获利.给出了电网公司的总体风险管理框架,该框架能够帮助其达到利润最大化和风险最小化的市场交易目标.
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