电力系统保护与控制2012，Vol.40Issue(6)：50-56,7.
基于Copula方法的电力市场组合风险分析
Portfolio risk analysis in electricity market based on Copula approach
摘要
Abstract
Considering the correlation of the profits between the electricity real-time market and day-ahead market and the statistical characteristics of the profit series, this paper establishes the dependence portfolio model-Gumbel Copula- (GARCH-GED, GARCH-t) based on the advantages of the Copula function and the GARCH model. We apply spectral risk measure to the portfolio. Calculation results show that the risk measure results under the Copula model is closer to the actual risk value than the results under binary normal joint distribution. Moreover, spectral risk measure is flexible, when considering the user's risk-averse degree.关键词
电力市场/投资组合/谱风险/CopulaKey words
electricity market/ portfolio/ spectral risk/ Copula引用本文复制引用
亢娅丽,张宗益,郭兴磊..基于Copula方法的电力市场组合风险分析[J].电力系统保护与控制,2012,40(6):50-56,7.基金项目
国家自然科学基金项目(70941029) （70941029）
