摘要
当前国内电力市场通常以固定比例收取的保证金来控制信用风险,保证金数额与资产总额、售电规模或账面盈亏挂钩,其中的售电规模和账面盈亏仅考虑电能量交易一个交易品种。随着电力现货市场的开展,这类固定、单品种的保证金计算制度并不能适应电力市场多品种、高交易频次的需求。本文基于SPAN保证金计算模型,结合电力市场特殊交易品种和电力价格周期性的特点,提出了适用于未来包括金融交易在内的电力市场交易风险保证金动态计算方法。研究发现,此方法通过综合评估日前市场、电力期货(包括中长期、金融输电权和虚拟交易)、期权合约的价格变动,计及合约交割和合约组合风险,灵活合理地计算市场主体保证金额度,可满足运营机构动态评估交易风险的要求,并适用于未来进一步完善的市场体系。
The current domestic electricity market usually charge margin to control credit risk based on a fixed percentage linked to the total assets,the scale of electricity sales or the book profit and loss,in which only one transaction type of electricity energy trading is considered.With the development of the electricity spot market,this kind of fixed,single-variety margin calculation system cannot adapt to the demand for multiple varieties and high transaction frequency in the electricity market.Based on the SPAN margin calculation model,combined with the special trading varieties of the electricity market and the periodic characteristics of electricity prices,this paper proposes a dynamic calculation method for the future electricity market transaction risk margin including financial transactions.The study found that this method comprehensively evaluates the price changes of the day-ahead market,futures(including medium and long-term,financial transmission rights and virtual transactions),and options,taking into account the risks of contract delivery and contract portfolio,and flexibly and reasonably calculates the guarantee amount of market entities.It can meet the requirements of operating agencies to dynamically assess transaction risks,and is suitable for further improvement of the market system in the future.
出处
《价格理论与实践》
北大核心
2021年第7期145-150,共6页
Price:Theory & Practice
基金
广东电力交易中心有限责任公司科技项目(电力市场风险监测预警与防控机制研究及功能开发,034500KK52180002/GD-KJXM20185365)
关键词
SPAN
电力市场保证金
交易风险
中长期合约
电力期货
电力期权
SPAN
margin in electricity market
transaction risk
medium and Long-term contract
power future
power option
