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Title: |
Price Risk Measurement Based on Value-At-Risk Model in Electricity Market: A Literature Review |
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Source: |
International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment)
(pp 2796-2800)
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Author(s): |
Yuming Feng, College of Economics and Management, Chongqing Normal University, Chongqing, China
Xiaoyan Zou, College of Economics and Management, Chongqing Normal University, Chongqing, China |
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Abstract: |
Risk measure is one of the core problems in the electricity market. This article analyses the existing literature from three aspects which are the bid strategy, risk control and risk measurement. We find that most of these literature focus on the risk transfer and risk aversion through introducing many electricity transaction forms, but the auction mechanism for spot market does not have the function to reduce market price risk. Therefore, in the future, we should try to design the auction mechanism which can control the price risk in the spot market.
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