火电企业燃煤双因素变异风险及其期现对冲策略

Mutation Risk of Coal-Fired Double Factors and Futures and Spot Hedge Strategy in Coal-Fired Power Enterprises

减排压力使得我国火电企业面临着自身发展的硬约束;煤炭市场化程度的提高,增加了燃料需求价格波动风险。对火电企业燃煤双因素变异风险进行分析,介绍了动力煤期货套期保值的基本逻辑原理,并提出了面对火电企业燃煤双因素市场变异风险的期货对冲策略模型。

An emission reduction pressure would be a hard restriction of the development for the coal-fired power enterprises in China. The improvement of the coal market degree would increase the price wave risk of the fuel. The paper had an analysis on the mutation risk of the coal-fired double factors for the coal-fired power enterprises, introduced a basic logic principle on the hedging ratio of the steam coal futures and provided the futures hedge strategy model for the market mutation risk of the coal-fired double factors faced by the coal-fired power enterprises.