互联电力市场中的传染病

IF 5.7 Q1 BUSINESS, FINANCE

Journal of Risk Finance Pub Date : 2021-10-04 DOI:10.1108/jrf-01-2021-0002

Rangga Handika

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引用次数: 0

摘要

目的本文提供了一种评估澳大利亚互联电力市场价格和负荷传染的替代方法。这种方法使我们能够从买家和卖家的角度确定高风险地区并评估传染的方向。设计/方法/方法作者使用多项logit方法来测量传染。在确定了超越和共超越后，作者估计了解释一定数量共超越概率的协变量的多项式logit系数。FindingsMarket参与者应认识到传染风险的存在，并仔细审查新南威尔士州和维多利亚州地区的价格和负荷动态，以预测任何同时发生的极端变化。监管机构需要稳定这些地区的需求和供应，以最大限度地减少任何可能的传染。原创性/价值本文提出了一项开创性的研究，调查澳大利亚互联电力市场的传染病。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Contagions in interconnected power markets

PurposeThis paper offers an alternative approach to assessing contagions in price and load in the Australian interconnected power markets. This approach enabled us to identify a high-risk region and assess the direction of contagions from both buyers' and sellers' perspectives.Design/methodology/approachThe author used a multinomial logit method to measure contagions. Having identified the exceedance and coexceedances, the author estimated the multinomial logit coefficients of the covariates explaining the probability of a certain number of coexceedances.FindingsMarket participants should recognize the presence of contagion risk and scrutinize price and load dynamics in the NSW and VIC regions to anticipate any simultaneous extreme changes. Regulators need to stabilize the demand and supply sides in those regions to minimize any possible contagions.Originality/valueThis paper presents a pioneering study investigating contagion in the Australian interconnected power markets.

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来源期刊

Journal of Risk Finance BUSINESS, FINANCE-

CiteScore

6.20

自引率

6.70%

发文量

期刊介绍： The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk