【作者】 程利敏；

【导师】 李伟；

【作者基本信息】 华北电力大学（河北） ， 数量经济学， 2008， 硕士

【摘要】 本文首先综述了国内外电力市场改革状况,并介绍了发电企业报价风险研究现状,进而对发电企业报价风险研究的背景知识进行了概述,并在此基础上提出本文研究的前提假设。其次,在对风险和风险管理相关理论研究的基础上,阐述报价风险产生原因,并利用Crystal Ball提出了基于改进Monte Carlo模拟的VaR和CVaR报价风险评价方法。再次,用一个实验案例诠释发电企业报价风险评估过程,比较了VaR和CVaR风险评价结果,对风险因素进行敏感性分析,且在一定风险约束条件下基于优化理论利用Crystall Ball的OptQuest工具求解出最优的报价,并提出短期内降低报价风险的对策。然后,提出发电企业长期内规避报价风险的策略。最后是本文的结论部分。更多还原

【Abstract】 Firstly, this paper summarizes the situation of electricity market reforms at home and abroad, and introduces the research status of bidding risk for power generation companies, thereby, relative background theories of generation enterprise bidding risk are discussed, and on the basis of the theories, the hypotheses of this study are proposed. Secondly, based on relative theories of risk and risk management, this paper expounds the reasons of bidding risk for generation companies, and based on Crystal Ball, this paper proposes VaR and CVaR bidding risk evaluation methods with improved Monte Carlo simulation. Then, an experiment example is utilized to illustrate the bidding risk evaluation process, and the evaluation results of VaR and CVaR are compared. Sensitivity analysis is carried on for risk factors, and based on optimization theory and under certain risk constrains, the best offer price is obtained through Crystal Ball OptQuest tool, and countermeasures to lower the bidding risk of short-term are proposed. Then, strategies to evade bidding risk in the long-term are proposed. Finally, there are the conclusions of this paper.更多还原