風(fēng)險價值法在電力市場財務(wù)風(fēng)險分析中的應(yīng)用【外文翻譯】

1、本科畢業(yè)論文（設(shè)計）外文翻譯原文一：原文一：ApplicationofVARinFinancialRiskAnalysisofElectricityMarketsAbstract:InthispaperthenecessitytostudyfinancialrisksinelectricitymarketstheapplicationoftheValueatRisk(VaR)methodthefeasibilityofhisticals

2、imulationsarefirstlyintroduceddiscussed.ThenthegrossprofitdailyVaRweeklyVaRmodelsofanelectricitycompany(theuniquebuyer)basedonpracticalconditionsoftheZhejiangelectricitymarketsarepresentedthecrespondingcomputationalresul

3、tsarerepted.Furthermetheapplicationofhisticalsimulationsinfinancialriskinvestigationsofelectricitymarketsisanalyzedtheinfluenceofthetwofacts(contractedpricePccontractratek)ofCFD(ContractFDifference)onthecompany’sgrosspro

4、fitdailyVaRarediscussed.Thenumericalresultsrevealedthatthehisticalsimulationissuitabletoanalyzetopredicttheshttermfinancialrisk(nextdaynextweek)ofelectricitymarket.Itisintuitivesimpleeasytoimplement.1.IntroductionThewldw

5、idereconstructionderegulationofelectricityindustryisgivingrisetocompetitionsvigtothepreviouslymonopolisticmarket.Howeverthesearealsoaccompaniedbyriskswhichhaveneverbeenexperiencedbymarketparticipants(electricitycompanies

6、)especiallyintermsofthefluctuationoftheelectricityprice.Ascontrarytoothercommoditieselectricitycannotbestedthereisaneedtomaintainaninstantaneousbalancebetweenthesupplyconsumption.Howeverconsumptionchangescannotbemeteasil

7、yfromelectricitystages.Sotheequilibriumpriceofelectricitymarketswillvarystochasticallyastheloadchanges.Therefetherewillbedrasticjumpingpeakacteristicsinelectricitypriceduetothelimitationinpowergenerationoutputcapacities.

8、expressionoftheelectricitypricetoreplacethatofthefinancialassetswithfullconsiderationsoffluctuationsoftheelectricitypriceonewilltransplanttheconceptofVaRfromthefinancialfieldintotheelectricitymarketThusitispossibletouset

9、hismethodtofecasttoassessthefinancialriskinelectricitymarkets.TheapplicationsofVaRinthefinancialriskanalysisofelectricitymarketshavebeenstudiedin[56]butthoseintheassessmentoffinancialriskhavenotbeenreptedsofar.Presentlyt

10、hreemethodsaremainlyusedinVaRcomputationanalysisi.e.thehisticalsimulationtheanalyticalmethodtheMonteCarlosimulation.Thehisticalsimulationmethodisproposedinthispapertopredictshtterm(nextdaynextweek)financialrisksofelectri

11、citymarkets.2.VaRMethodIn1994J.P.MganBankfirstproposedVaRapproachfriskanalyzingwhichiscalledbytheauthas“RiskMetrice”.SubsequentlyVaRisextensivelystudiedwidelyappliedinwldfinancialsystems.NowVaRhasbecomethemostimptantmean

12、stoassessfinancialriskbyvariousfinancialganizations.2.1.ConceptofVaRVaRstsfValueatRiski.e.theamountofmoneywhichmighthelostwithagivenprobability.InpracticaltermsVaRmeasuresfafinancialassetptfolioofthewstexpectedlosstoaspe

13、cifiedprobability(theconfidencelevel)duringagiventimeperiodundernmalmarketconditionsi.e.Prob(ΔPVaR)=1c(1)WhereΔPisthelossofthefinancialassetptfoliowithintheholdingperiodVaRisthevalueatriskwiththeconfidencelevelc.2.2Princ

14、ipleofHisticalSimulationInHisticalSimulationthefuturechangesofthemarketfactsarepredictedthroughtheobservedchangesofthemarketfactsduringagivenhisticalperiod.HisticalSimulationisafullvaluationmethodthatinvolves:(1)revaluin