国外典型电力批发市场模式比较及启示

电力批发市场建设是电力市场体制改革的重要内容,对于电力市场的开放、竞争、有序运行起到了基础性的支撑作用。国外主要电力批发市场的交易模式大体可分为分散交易模式和集中交易模式两大类,英国电力批发市场和新加坡电力批发市场分别是分散交易模式和集中交易模式的典型代表。两种交易模式下,都存在一个实现发用电量实时平衡的平衡竞价平台,只是分散交易模式下,大部分电量是通过双边合同确定的,少部分电量通过平衡竞价平台完成,分散交易模式并不能像集中交易模式那样实现大范围的资源优化配置。同时集中交易在操作效率、交易便捷方面有着很大的优势,集中交易的公开透明将有效避免双边交易价格受市场外的因素干扰。通过比较分析,对我国电力批发市场建设提出建议:初期有必要先建立日前集中交易市场,市场参与者可以通过金融市场的双边合同进行市场风险控制,监管机构可以在市场化过渡阶段设置固定合同机制,使市场化改革平稳过渡。     

基于VAR模型的远期合同定金的定价方法

为规避电力市场改革给市场带来的风险、提高市场的运作效率、增大电力商品的交易量，提出了发电商与电网公司之间一种带定金的远期合同模型。介绍了VAR风险评估方法及其分析法——Delta类模型在电力市场金融风险评估中的应用；运用VAR风险评估方法计算出该模型中发电商存在的风险，进而确定合同定金。应用该模型对不同的合同电价和置信水平分别计算出相应的定金，结果表明，合同定金随合同电价的减小而减小，随置信水平的增大而增大，说明了该模型能较真实地反映发电商所面临市场风险的本质特征。     

考虑远期合约交易的电力市场均衡分析

针对丰富的合约交易形式将对电力市场产生重大影响的问题,基于Cournot模型建立了远期与现货市场的两阶段市场均衡模型,利用反向推导方法对模型进行了求解,通过比较电力市场环境下引入远期合约交易前后的电力需求弹性与供电量间的变化及市场雷纳指数的变化,分析了远期合约对市场效率的影响,并以内蒙古三个区域市场实际交易信息为例对模型进行了验证.结果表明,该模型合理、正确.     

欧盟内部电力市场分析及对我国南方区域电力市场建设的启示

回顾了欧盟内部电力市场的建设历程,分析了内部电力市场的市场机制,介绍了日前耦合电力市场的交易时序、交易类型、交易机制及各区域之间的市场耦合机制,同时对远期容量市场、日内市场和平衡市场进行了分析。最后结合南方区域电力市场现状,总结分析了其对南方区域电力市场建设的5点启示,为我国探索区域电力市场的建设提供参考与借鉴。     

全国首个跨区跨省月度电力交易规则《南方区域跨区跨省月度电力交易规则(试行)》正式印发

<正>5月19日《南方区域跨区跨省月度电力交易规则(试行)》获得国家发展改革委员会、国家能源局批复,由广州电力交易中心正式印发,这是全国首个跨区跨省月度电力交易规则。《南方区域跨区跨省月度电力交易规则(试行)》明确了南方区域跨区跨省的市场交易主体范围,设计了协议交易、发电合同转让交易、集中竞价交易以及挂牌交易四个交易品     

我国电力交易机构合规风险管理体系研究

有效的合规风险管理是电力交易构建全面风险管理体系的关键所在,也是电力市场正常运营的基础与核心,但是国内关于电力交易机构合规风险问题仍然比较空缺.因此,文章首先阐述电力交易机构合规风险的概念、合规规范及合规风险的来源,进而指出了电力交易机构合规风险管理的必要性;然后,根据合规风险的不同演变进程分别分析了合规风险管理的目标...     

基于实物期权的电力交换均衡定价模型

考虑投资方通过投资一个水电厂与电网公司签订电力交换合同,利用实物期权法对资产进行合理定价.基于项目受益双方的利益最大化建立电力交换合同收益的均衡模型,并得到了合同电价的均衡方程.算例仿真和理论研究表明,该合同既保障电网公司免受电力需求不足或供应不足带来的损失,又兼顾了双方收益公平,具有现实意义.     

基于主客观赋权的电力市场风险综合评价研究

[目的]随着国家对于电力市场体系建设的强调和推进,我国电力市场朝着更深入更统一的方向不断发展,为了促进电力市场建设,关于电力市场风险影响因素及其评价仍有待进一步研究。[方法]在考虑电力市场交易全周期的基础上,以事前风险、事中风险和事后风险为切入点,整合电力市场各阶段存在的风险,并建立电力市场风险评价指标体系。基于主客观赋权的思想,分别采用层次分析法（Analytic Hierarchy Process,AHP）和熵权法对指标体系进行赋权,采用模糊综合评价（Fuzzy Comprehensive Evaluation,FCE）对电力市场综合风险水平进行评价。[结果]通过不同电力市场的算例结果分析,证实了文章中所提模型的合理性、全面性和有效性。[结论]文章中所构建模型可对市场进行风险综合评价,为电力市场风险体系建设及未来发展方向提供理论参考。     

海外竞争性电力市场下电力投资分析和评价

当企业进入海外竞争性电力市场时,投资报酬的计算便引入了更多的不确定性因素,如何对投资进行合适的经济分析和评价成为关键问题。通过对当前竞争性电力市场和容量市场的研究分析,把主要的竞争性电力市场按照交易模式分成双边交易模式、全电力库模式、混合交易模式三类,把主要的容量市场按照构成模式大致分为容量计划模式、容量费用模式、容量责任模式三类,并进行分类组合。以市场结构指标、市场效益指标和市场风险指标作为2级指标,再将分析投资决策过程中关注的关键要素作为3级指标,形成投资侧的主要评价指标。市场要素主要分为定性和定量指标。定性指标一般分为两档进行量化评分,情况较好的在0.51～1分之间,情况不好的在0～0.5分之间,并通过专家群打分的方式来最终确定分值区间。定量指标可根据指标不同的取值范围,取4个评价等级,分别为优秀、良好、一般、较差。在对市场的各项指标要素进行量化的基础上,通过专家模糊测评并对各个指标要素进行权重赋值,最终得出整个投资项目的综合评价,以此作为项目投资参考。     

基于期权合同的风电商日前市场投标偏差风险管理

由于风电出力和平衡市场价格的不确定性，风电商在日前市场投标时将面临较大的风险。为此，提出风电商通过看涨期权以控制平衡市场价格风险，从而减小日前市场投标风险的方法。为了研究风电商的期权合同对其日前市场投标行为的影响，建立一个考虑风电商看涨期权合同的日前市场随机均衡模型，其中采用场景削减技术计入风速和平衡市场价格的不确定性。算例分析验证了模型的合理性和有效性，并表明看涨期权合同可降低风电商参与日前市场竞争时收益的波动，减小风电商的投标偏差，且风电商通过合适的看涨期权合同交易可达到效用最大化。     

Hedging local volume risk using forward markets: Nordic case

With focus on the Nordic electricity market, this paper develops hedging strategies for an electricity distributor who manages price and volume risk from fixed price agreements on stochastic electricity load. Whereas the distributor trades in the spot market at area prices, the financial contracts used for hedging are settled against the system price. Area and system prices are correlated with electricity load, as are price differences. In practice, however, this is often disregarded. Here, we develop a joint model for the area price, the system price and the load, accounting for correlations, and we suggest various strategies for hedging in the presence of local volume risk. We benchmark against a strategy that ignores correlation and hedges at expected load, as is common practice in the industry. Using data from 2013 and 2014 for two Danish bidding areas, we show that our best hedging strategy reduces gross loss by 5.8% and 13.6% and increases gross profit by 3.8% and 9.5%, respectively. Although this is partly due to the inclusion of correlation, we show that performance improvement is mainly driven by the choice of risk measure.     

A model for hedging load and price risk in the Texas electricity market

Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which is motivated by the goal of facilitating optimal hedging decisions, while also intuitively capturing the key features of the electricity market. Driven by three stochastic factors including the load process, our power price model allows for the calculation of closed-form pricing formulas for forwards and some options, products often used for hedging purposes. Making use of these results, we illustrate in a simple example the hedging benefit of these instruments, while also evaluating the performance of the model when fitted to the Texas electricity market.     

The overnight risk premium in electricity forward contracts

We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity markets. We argue that finding risk premiums by analyzing overnight returns is more relevant than the frequently used ex post approach. The derivatives in these markets can be characterized as trading products and hedging products. Each contract shows a clear increase in trading volume and liquidity when approaching maturity. We link this to a testable hypothesis where financial traders are compensated for holding price risk, and where the sign and magnitude of the risk premium changes depending on the hedging pattern of producers and retailers. Incorporating this in regressions we find that there are higher risk premiums in the period before the forwards become front products, compared to the risk premiums in the front period. Quarterly and monthly contracts show the most significant results.     

Price formation in electricity forward markets and the relevance of systematic forecast errors

Since the liberalisation of the European electricity sector, forward and futures contracts have gained significant interest of market participants due to risk management reasons. For pricing of these contracts an important fact concerns the non-storability of electricity. In this case, according to economic theory, forward prices are related to the expected spot prices which are built on fundamental market expectations. In the following article the crucial impact parameters of forward electricity prices and the relationship between forward and future spot prices will be assessed by an empirical analysis of electricity prices at the European Energy Exchange and the Nord Pool Power Exchange. In fact, price formation in the considered markets is influenced by historic spot market prices yielding a biased forecasting power of long-term contracts. Although market and risk assessment measures of market participants and supply and demand shocks can partly explain the futures-spot bias inefficiencies in the analysed forward markets cannot be ruled out.     

基于电价波动率的现货电价风险度量研究

风险度量因子的选取是风险度量的核心工作之一,统计性质好的指标通常能降低建模复杂度,提高精度。根据电价序列的特征及电价风险度量模型的特点,提出以电价波动率替代电价作为风险度量因子,避开电价序列的非平稳性,建立GARCH-VaR模型用于现货电价风险度量,以北欧电力市场的电价风险度量为例,对模型的可行性和有效性进行检验,并将所提出的电价风险度量方法与电价波动率正态分布法、电价ARMA-GARCH模型度量的电价风险进行比较。结果表明,所提方法不仅能有效降低电价风险度量的模型复杂度,还可提高风险度量的准确性。     

Electricity markets volatility: estimates,regularities and risk management applications

The recent deregulation of the market for electric power in many parts of the US and Canada has expanded the set of potential tools for managing the types of risks faced by both generators and consumers of electric power. In particular manufacturing and other firms whose operations are powered by electricity now face, on a continuing basis, the engineering management decisions concerning whether they should buy or produce electricity, and if they are to buy or sell electricity, what types of contracts are optimum. These types of risk management decisions typically involve futures, forwards, options and other financial derivatives. The price and volatility of electric power are known to play an essential role in determining which of these instruments should be used. However, electricity as a commodity possesses certain special features not shared by other commodities and hence its risk properties are not yet well understood. In this paper we consider and test certain hypotheses about the properties of electricity price using recent market data. We find that electricity prices possess certain volatility and other systematic properties that can be characterized by the type and method of delivery of electricity. These properties can be used by firms in formulating their optimal demand and supply schedules of electric power.     

Electricity portfolio management: Optimal peak/off-peak allocations

Electricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to optimally allocate positions in peak and off-peak forward contracts. It is shown that the optimal allocations are based on the difference in risk premiums per unit of day-ahead risk as a measure of relative costs of hedging risk in the day-ahead markets. The outcomes of the model are then applied to show (i) that it is typically not optimal to hedge a baseload consumption profile with a baseload forward contract and (ii) that, under reasonable assumptions, risk taking by the purchaser is rewarded by lower expected costs.     

双边电力市场的最后要价仲裁模型

针对双边电力市场环境下买卖双方逐利的目的,很难就固定的合同价格达成一致,利用在国际贸易领域已较成熟应用的仲裁模型,建立了双边电力市场中买卖双方报价的最后要价仲裁模型。应用此最后要价仲裁模型市场交易员能较好地控制电价,同时还可解决暗标拍卖所造成的价格波动,有效地抑制买卖双方因乱用市场力造成的电价飞涨,形成稳定的电力市场环境。     

Electricity procurement for large consumers based on Information Gap Decision Theory

In the competitive electricity market, consumers seek strategies to meet their electricity needs at minimum cost and risk. This paper provides a technique based on Information Gap Decision Theory (IGDT) to assess different procurement strategies for large consumers. Supply sources include bilateral contracts, a limited self-generating facility, and the pool. It is considered that the pool price is uncertain and its volatility around the estimated value is modeled using an IGDT model. The proposed method does not minimize the procurement cost but assesses the risk aversion or risk-taking nature of some procurement strategies with regard to the minimum cost. Using this method, the robustness of experiencing costs higher than the expected one is optimized and the related strategy is determined. The proposed method deals with optimizing the opportunities to take advantage of low procurement costs or low pool prices. A case study is used to illustrate the proposed technique.