【作者】 佘升翔；

【导师】 马超群；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2009， 博士

【摘要】 在能源工业管制逐渐放松,能源市场体系逐步建立的国际大背景下,能源价格之波动带来的风险不可避免地成为能源市场各方参与者正常运营的现实威胁,对于我国市场经济条件下的能源市场改革具有重要的现实影响。本文以能源市场为研究背景和对象,以整体风险管理为主题,展开了一系列理论和模型研究,取得了一些创新成果。能源市场作为一类特殊的商品市场,它的运行一方面仍然遵循基本的市场机制机理,另一方面带有浓厚的行业特征。在进一步研究之前,首先一般性地分析了能源市场的构成、能源市场的结构特征、能源市场的价格形成机理及其波动影响因素。然后以我国石油市场为对象,从能源市场风险形成的角度实证研究大庆原油价格的形成机制及特征,并构造计量经济模型对我国上海燃料油期货市场与国际石油市场之间的风险溢出关系进行了实证。本文回顾了风险概念的起源及发展,探讨了风险的定义及内涵,指出风险的客观本质是事物内在的不确定性,而暴露于风险之主体的偏好决定了主体对不确定性的主观感受和评价。通过分析能源市场风险形成机理,发现能源市场主体不仅暴露于概率意义上的不确定性,还暴露于“跨期”带来的不确定性,而概率要素和时间要素对于风险偏好的影响具有某种一致性。进而提出一个风险的整体性定义。然而,传统的风险管理往往只关注价格、概率、偏好和时间中的单个或两个要素,Andrew Lo(1999)提出了3p’s整体风险管理框架,试图将价格、概率和偏好这三个基本要素纳入一个整体,但他却没有考虑时间要素。考虑到时间对于风险管理的重要影响,本文在3p’s基础上提出了整合时间要素的3P’s-T整体风险管理框架,并特别论述了时间与概率之间的内在关联。时间与概率和价格之间的关系不可分割,建立了广义时间-概率权衡理论,推导出时间与概率权衡的显性公式。在这个公式中利用一个内在折扣率函数,架通了时间和概率两个维度,既从理论上支撑了提出的3P’s-T整体风险管理框架,也为进一步研究跨期条件下的风险度量及评价模型提供了支撑。经典的基于风险-价值权衡思想的风险-价值模型为偏好条件下的双属性评价与决策提供了一类规范性框架,它具有很强的一般性和优良的理论性质,并且反映了3p’s整体风险管理思想,但它是一类静态意义上的模型。风险-价值模型建立在与偏好相关的标准风险度量模型的基础上,标准风险度量仅仅结合了偏好和概率要素,利用广义时间-概率权衡理论,本文将时间要素嵌入标准风险度量模型,得到了跨期标准风险度量模型,并在此基础上推导出反映3P’s-T整体风险管理思想的跨期风险-价值模型。在具体的建模中,针对事件结果定义域的不同,分别推导出面向非负博彩的跨期相对风险-价值模型和基于指数效用的跨期标准风险-价值模型。最后,面向一个经典的能源风险投资问题应用本文建立的跨期风险管理模型,并将其与传统的净现值方法进行比较分析,指出两者的差异。可比条件下,跨期风险-价值模型将给出更加保守的结论,反映时间偏好对跨期风险决策的实质性影响。基于广义时间-概率权衡理论的跨期风险-价值模型整合了跨期选择与风险评价,结合了规范性模型与决策者对概率和时间的偏好,将价格、概率、时间和偏好四个基本要素统一到一个整体的风险管理框架下,为跨期不确定性评价和决策提供了新思路和新方法。更多还原

【Abstract】 Under the background of deregulation of energy industry and establishment of energy market, the risk from prices volatility become a real threat to the operation of energy market participants, and also has significant impact on the revolution of domestic energy market. This paper took this background and focused on total risk management, performed a series of researches on theories and models and gained some innovative achievements.As a special commodity market, the function and price forming of energy market still follow the fundamental market mechanisms; on the other hand, they are related to the real energy economy with strong industry meanings. So before the main research, this paper analyzed the constitutions, structures, pricing mechanism and the impacting factors of price volatility, which serve as a primary foundation for the further study. Then we empirically investigated the pricing of Daqing crude oil from the viewpoint of risk forming and studied the spillover effect between Shanghai fuel future market and international oil markets by econometric models.This paper reviewed the origin of concept of risk and its evolution, discussed the definitions and implication of risk, which pointed out that the essence of risk is intrinsic uncertainty of the world, but the preference of the agent exposed to risk determines his subjective perceiving and evaluation. Actually, the agent in energy market is not only exposed to the uncertainty in the mean of probability, but also to the uncertainty introduced by time. We found these two dimensions have consistency in agent’s construction of a risk event and proposed a definition of total risk.However, traditional risk management usually just considered individual or two factors of price, probability, time and preference. Though Andrew Lo proposed the framework of 3p’s total risk management, he failed to integrate time. Considering the impact of time on energy market risk, this paper proposed the framework of 3P’s-T total risk management that integrated time preference. Under this framework, we established a general theory of time-probability tradeoff, successfully derived an explicit formulation for transforming time to probability. In this formulation, an intrinsic discount function is used to connect time with probability, which supports the 3P’s-T framework as well as builds a base for measuring and evaluating the energy market risk. The classic static risk-value model based on the intuition of risk-value tradeoff provides a normative framework for two-attribute evaluation and decision-making. This model was built on a preference related standard risk measure, and it could reflect the ideal of 3p’s total risk management. Take advantage of the time-probability tradeoff theory, this paper added the time into the standard risk measure then obtained the inter-temporal risk measure model for energy market and further inter-temporal risk-value model that reflects the ideology of 3P’s-T. In accordance with the different definition domains of object, an intertemporal relative risk-value model and an intertemporal risk-value model based on exponential utility were derived respectively. Finally, we used a classic intertemporal energy risk investment case to compare our method with traditional NPV method and found apparent difference. That is, in the same conditions, the time-probability tradeoff will give more conservative results, which reflects the substantial impact of time preference on intertemporal risk decision-making. In conclusion, our intertemporal risk-value model integrates intertemporal choice with risk evaluation, combines normative model with the preference of probability and time, and unifies the four fundamental factors—price, probability, time and preference into an explicit framework.更多还原