報告書番号

Y03030

タイトル（和文）

電力市場取引における市場リスクの定量化に関する基礎検討

タイトル（英文）

Preliminary Study of Market Risk Measurements in Electricity Trading

概要 （図表や脚注は「報告書全文」に掲載しております）

卸電力市場の創設により，電力会社は，自社電源を協調的に運用しつつ，同時に卸電力市場取引を有効活用して収益を最大化することが求められる。そのために，高いボラティリティを有する卸電力価格と経済負荷配分運用を勘案した上での市場リスクを，客観的な数値で把握することが重要となる。本研究では，金融業界で知られているリスク指標を用いて，自社電源の運用と卸電力市場を同時に考慮して，リスクを定量化した。なお，リスク定量化手法は複数あるため，相互比較を行なった。この目的のため，火力発電所の起動停止や経済負荷配分，卸電力取引量を考慮して収益を求める計算機プログラムを開発した。これを用いて，リスク定量化手法の特徴を明らかにした。

概要 （英文）

Emerging wholesale power exchange in Japan, a management scheme of electricity price risk should be developed. At the beginning, conventional risks and emerging risks should be analyzed deeply as so to improve the risk management. Since then, in order to manage the risks rationally, major risks should be measured.Electric utilities must operate and coordinate a number of generating units, and trade electric power in wholesale electricity market effectively. A risk management scheme in particular which can take account of the daily start and stop operation of generation units and economic load dispatch considering a wholesale electric power price is necessary pressingly.First, this report discusses various risks to market participants in the liberalized power market. The electric utility who is risk neutral under regulation have not to risk. Generators and power suppliers who are risk averse , however, need reliable index of market risk for efficient risk management. In order to measure the power trading risk, the authors develop the computer program which can calculate optimal hourly-revenue considering Unit Commitment, Economic Load Dispatch, and wholesale power exchange. Three risk measurement methods -Value at Risk(VaR), Conditional Value at Risk (CVaR), and Expected Shortfall(ES)- are investigated considering economical operation of generating units, prices of fossil fuel price, and wholesale power prices. From the numerical results, the Expected Shortfall can sense a Fat Tail of the probabilistic distribution function of the changing rate of revenue correctly.

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