To provide a power transaction risk management system which measures the market risk accompanied with power transactions and maximizes earnings while keeping the risk smaller than an allowable value.
The power transaction management system is provided with; a means 102 which evaluates and inputs a predicted value 100B of power demand, a power price 100C in a spot market, and the cost function, fuel price, fixed expenses, etc. 100A of a generator for use; a means 104 which models a future random variation of the power price from the past variation of the power price; a means 105 which calculates earnings or the like resulting from power dealings; a means 106 which evaluates the risk resulting from the random variation of the power price; a means 109 which constructs a proper power portfolio; a means 111 which re-evaluates the value of the portfolio everyday; a means 108 which rearranges the portfolio in order to reduce the risk; and a means 114 which determines the price of a derivative for a risk hedge.
TAKEZAWA NOBUHISA
UENOHARA YUJI
KAWASHIMA MASATOSHI
TATSUMI TAKAHIRO
KANO YUICHI
Iwa Saki Kokuni
Kawamata Sumio
Nakamura Tomoyuki
Masakazu Ito
Shunichi Takahashi
Toshio Takamatsu