Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/24698
Title: Application of VaR in financial risk analysis of electricity markets
Authors: Zhou, H
Zhang, F
Wu, H
Ho, SL 
Issue Date: 2003
Source: Sixth International Conference on Advances in Power System Control, Operation and Management - Proceedings, 2003, v. 1, p. 354-359 How to cite?
Abstract: In this paper, the necessity to study financial risks in electricity markets, the application of the Value at Risk (VaR) method and the feasibility of historical simulations are firstly introduced and discussed. Then the gross profit, daily VaR and weekly VaR models of an electricity company (the unique buyer) based on practical conditions of the Zhejiang electricity markets are presented, and the corresponding computational results are reported. Furthermore, the application of historical simulations in financial risk investigations of electricity markets is analyzed, and the influence of the two factors (contracted price Pc and contract rate k) of CFD (Contract For Difference) on the company's gross profit and daily VaR are discussed. The numerical results revealed that the historical simulation is suitable to analyze and to predict the short-term financial risk (next day or next week) of electricity market. It is intuitive, simple and easy to implement.
Description: Sixth International Conference on Advances in Power System Control, Operation and Management - Proceedings, Hong Kong, 11-14 November 2003
URI: http://hdl.handle.net/10397/24698
ISBN: 0863413285
9780863413285
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