基于SPAN系统的电力期货动态保证金应用研究

Research on the Application of Dynamic Margin for Power Futures based on SPAN System

电力期货市场有助于电力市场形成统一规范,与全国统一电力市场的建设目标高度契合。合理的电力期货动态保证金制度能够更确切地反映市场波动和风险,为投资者和市场参与者提供有效的风险管理工具和安全稳定的交易环境。本文将目前国际上现行的SPAN期货动态保证金系统引入我国电力期货市场中,并用VaR和风险矩阵的方法对参数进行模拟计算,分析SPAN系统在我国未来电力期货市场的可行性和适用性。由于我国目前并未上市电力期货产品,选取美国第二大交易所--洲际交易所中的电力期货产品对该模型进行算例分析,结果发现:与我国现行的静态保证金制度相比,SPAN系统在电力期货市场的应用能够有效降低保证金水平,降低资金的占用率,对我国未来发展电力期货市场具有重要意义。

The electricity futures market contributes to the formation of unified and standardized electrici-ty markets,aligning with the goal of establishing a nationwide unified electricity market.A well-designed dy-namic margin system for electricity futures can more accurately reflect market fluctuations and risks,providing investors and market participants with effective risk management tools and a secure and stable trading environ-ment.This study introduces the internationally implemented SPAN futures dynamic margin system into China's electricity futures market and simulates and calculates the parameters using VaR(Value at Risk)and risk matrix methods.The feasibility and applicability of the SPAN system in China's future electricity futures market are analyzed.Since China currently does not have listed electricity futures products,electricity futures products from the second largest exchange in the United States,the Intercontinental Exchange(ICE),were selected for case study analysis.The results show that compared to China's current static margin system,the application of the SPAN system in the electricity futures market can effectively reduce margin levels and decrease the capital utilization rate,which is of significant importance for the future development of China's electricity futures market.