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POWER TRANSACTION RISK MANAGEMENT SYSTEM AND POWER TRANSACTION RISK MANAGEMENT METHOD

机译：电力交易风险管理系统及电力交易风险管理方法

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摘要

PPROBLEM TO BE SOLVED: To provide a power transaction risk management system which measures the market risk accompanied with power transactions and maximizes earnings while keeping the risk smaller than an allowable value. PSOLUTION: The power transaction management system is provided with; a means 102 which evaluates and inputs a predicted value 100B of power demand, a power price 100C in a spot market, and the cost function, fuel price, fixed expenses, etc. 100A of a generator for use; a means 104 which models a future random variation of the power price from the past variation of the power price; a means 105 which calculates earnings or the like resulting from power dealings; a means 106 which evaluates the risk resulting from the random variation of the power price; a means 109 which constructs a proper power portfolio; a means 111 which re-evaluates the value of the portfolio everyday; a means 108 which rearranges the portfolio in order to reduce the risk; and a means 114 which determines the price of a derivative for a risk hedge. PCOPYRIGHT: (C)2004,JPO&NCIPI

机译：

要解决的问题：提供一种电力交易风险管理系统，该系统可以测量伴随电力交易的市场风险，并在使风险小于允许值的同时最大化收益。

解决方案：带有电力交易管理系统;装置102，其评估并输入电力需求的预测值100B，现货市场中的电力价格100C以及成本函数，燃料价格，固定费用等。使用的发电机100A;装置104，它根据电价的过去变化模拟电价的未来随机变化;装置105，其计算电力交易产生的收益等;评估由电价的随机变化引起的风险的装置106;装置109，其构建适当的功率组合;装置111，其每天重新评估投资组合的价值;装置108，其重新安排投资组合以降低风险;装置114确定用于风险对冲的衍生工具的价格。

版权：（C）2004，日本特许厅和日本国家唱片公司展开▼

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公开/公告号JP2004252967A

专利类型
公开/公告日2004-09-09

原文格式PDF
申请/专利权人 TOSHIBA CORP;
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申请/专利号JP20040023263
发明设计人 MURAKAMI YOSHIKI;TAKEZAWA NOBUHISA;UENOHARA YUJI;KAWASHIMA MASATOSHI;TATSUMI TAKAHIRO;KANO YUICHI;
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申请日2004-01-30
分类号G06F17/60;H02J3/00;H02J3/46;
国家 JP
入库时间 2022-08-21 23:29:35

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