广东电力现货市场信用风险管理

Credit Risk Management in Guangdong Power Spot Market

结合广东电力现货市场的交易品种设计和结算机制,提出了广东电力现货市场信用风险管理机制,包括信用预警管理、信用额度评估机制和多市场净额风险量化机制。信用预警管理引入了“信用占用度”作为信用预警的信号;信用额度评估机制通过基于偿债能力的信用评级确定无担保信用额度,担保信用额度仅接受银行保函一种形式;重点分析了多市场净额风险量化机制析,包括“中长期-现货”双市场净额风险量化和“中长期-现货-零售”三市场净额风险。算例表明,售电公司三市场净额风险量化机制能结合实际结算机制更精准量化风险,降低售电公司参与电力市场的担保品要求。

Considering the trading rules, products and settlement mechanism of Guangdong power spot market, the credit risk management mechanisim is proposed in this paper, which includes credit warning mechanism, credit limit assessment and multi-market netting risk calculation. The “Occupying Coeffieient” is introduced as a signal in the credit warning mechanism. The credit limit assessment involves two components-the unsecured credit limit determined by credit rating based on the solvency, and the secured credit limit obtained by posting bank guarantee. Multi-market netting risk calculation includes “Meduim-And-Long-Term And Spot” bi-market netting risk calculation and “Meduim-And-Long-Term, Spot And Retailing” tri-market netting risk calculation. An example is introduced to demonstrate that, cooperating with the settlement mechanism, the netting risk calculation is more accurate in credit risk assessment, and reduces the collateral required from the retailers participating in the power market.