2012•Power System Protection and ControlOpen access

Portfolio risk analysis in electricity market based on Copula approach

Guo Xing-lei

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.

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Key concepts: Copula (linguistics), Autoregressive conditional heteroskedasticity, Econometrics, Expected shortfall, Gumbel distribution, Value at risk, Portfolio, Electricity market