电力现货市场下基于电价互换的不平衡费用风险管理策略

Unbalanced Cost Risk Management Strategy Based on Electricity Price Swaps in Electricity Spot Market

不平衡费用风险管理是中国电力现货市场建设中亟需解决的关键问题之一。通过分析不平衡费用的构成与现行不平衡费用处理办法,并考虑中国电力现货市场的关键特征,提出基于电价互换的不平衡费用风险管理策略。电价互换交易机制从电力市场运行基本规律和市场风险管理角度出发,不仅实现了不平衡费用风险在交易双方之间的重新分配,而且在一定程度上也能减少不平衡费用的产生。进一步运用期望效用和风险态度理论给出了电价互换的交易费用,并通过算例分析表明电价互换交易可以有效地用于电力现货市场中的不平衡费用风险管理。

Unbalanced cost management is one of the key issues that need to be resolved in the construction of China s electricity spot market.By analyzing the composition of unbalanced cost and considering the key characteristics of China s electricity spot market,a risk management strategy for unbalanced cost based on electricity price swaps is proposed.Based on the basic law of power market operation and market risk management,the price swap trading mechanism not only reallocates the risk of unbalanced cost between the two sides of the transaction,but also reduces the generation of unbalanced cost to a certain extent.Further the expected utility and risk attitude theory are used to give the transaction costs of electricity price swaps,and the analysis of examples shows that electricity price swaps transactions can be effectively used in the unbalanced cost risk management of the electricity spot market.