Risk Management of Chlor-Alkali Industry based on CVaR

In recent years, risk management has increased widely from financial institutions, regulators and portfolio managers, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Using this model can measure the risks in uncertainty factors and decisions the production planning for a plant. Now, China's Chlor-Alkali industries had to face the grim situation. Comparing with other industries, production planning of Chlor-Alkali industries is more complicated. Especially for an imbalance between demand and response in Chlor-Alkali products market, how to reduce the loss is a major problem for the policymaker. In the current market environment, the plant must make a viable decision while considering the risks from market. That required a market risk analysis. In this paper, we proposed a risk measurement model with a restrictive condition which can optimize the production while taking uncertainties into consideration, such as material price, electricity price, product price, order changes, and especially the restriction of liquid chlorine inventory. Eventually, a case study is submitted to demonstrate the feasibility of the developed model, and verify the effectiveness of the algorithm employed.