集中式电力现货市场风险规避机制机理分析及建设路径

Analysis and Construction Path of Risk Hedging Mechanism in Centralized LMP-based Electricity Spot Market

电力现货市场是反映电力短期供需关系和时空价值、引导电力资源优化配置的重要工具,也是中国新一轮电力体制改革中的重要任务。集中式电力现货市场产生分时段的节点电价或分区电价,市场主体在交易中面临节点电价风险和阻塞风险。差价合同、金融输电权、结算权转让等风险规避机制是市场主体规避风险、提升交易效用的重要手段。对差价合同、金融输电权、结算权转让的机理进行了分析,说明了3者的应用会对市场主体产生相同数学形式的成本或收益变化,具有类似的金融属性。进一步对比了3种风险规避机制的等效性和差异性,分析了各自应用的场景、条件及局限性。最后,针对当前中国电力现货市场初期的关键特征,提出了风险规避机制的三阶段建设路径。

Electricity spot market is significant in reflecting the short-term supply and demand relationship and the temporal and spatial value of electricity,and in guiding the optimal allocation of the electricity resources.The construction of the electricity spot market is also one of the key tasks in the new-round reform of the electric industry.The centralized electricity spot market generates the locational prices or the zonal prices at different time intervals,thus the stakeholders are confronted with risks of the locational market prices and congestions.The contract for differences,the financial transmission right,and the settlement right transaction are the efficient approaches to hedging against risks and improving trading utilities.This work analyzes the mechanisms for the three risk management approaches,indicating the three approaches have the same financial essence and results in the same mathematical expressions for the changes of the stakeholders’revenues.Furthermore,the equivalences and differences of the three risk management mechanisms are discussed and their application scenarios,conditions and limitations are discussed.Finally,considering the key characteristics of the current early-stage electricity spot market in China,the three-stage construction path of the risk management mechanism is proposed.