美国电力市场违约风险量化机制分析

Analysis on Default Risk Quantification in Electricity Market of United States

违约风险量化是电力市场中央对手方进行市场违约风险管理的必要环节和重要内容。对美国电力市场违约风险的量化方法进行分析,并提出了一种新的风险量化公式。从时间和品种两个维度,对美国电力市场违约风险的量化思路进行分析;并将违约风险量化使用的方法划分为债务直接预测法和量价预测法,预测的数学方法包括可单一使用的数学方法(加权平均法等)及其组合使用,讨论了不同方法的特点,并考虑数据波动时效性创新性提出了新的风险量化公式,通过算例验证了上述分析。最后对国内电力市场给出了下列建议:违约风险量化需结合风控手段、结算方式和风险偏好,通过缩短结算周期、预付费制度来优化结算制度。

Default risk quantification is a focus point for the central counterparties controlling the risks in electricity market.In this paper,the quantitative methods of default risks in the US electricity market are introduced and a new quantification formula is put forward.Starting from both the time dimension and the variety dimension,the existing quantification methods are divided into two types:the directdebt-forecasting method and the volume-price-forecasting one;the mathematical forecasting methods include the weighted average method,the percentile method or the combination of the two according to different situations.Then,the new quantification formula is proposed considering the influence of data fluctuation and it is verified to be effect by the example.Finally,there are some recommendations to the domestic electricity market:To realize the quantification of default risk in the electricity market,the circumstances like risk management,settlement methods and risk preferences should be considered;meanwhile,the settlement system should be optimized through a shorter settlement cycle or a prepayment.