Market Risk And Financial Derivatives In Spot Electricity Market

Along with the revolution of electric continuous and spot market,electricity market trading main body are faced with the risk of a variety of market,experience from abroad,power is the important supplement of the spot market,the financial markets can play on electricity spot market risk hedge,combined with electricity spot market an important role in promoting power real price discovery.As the core of the electric power financial market,the efficiency of the design of the electric power financial derivatives largely determines the health of the future development of the electric power financial market.Therefore,this article first to the general financial derivatives including forward contracts,futures contracts,etc are summarized,then describes the typical countries including the United States,Australia and Europe’s power of the development of financial derivatives and summarizes the enlightenment to our country electric power financial derivative products design,the development process includes the time of product appearance,product category,typical product contract and so on.This paper identifies the risks faced by the trading subjects in the electricity market in the process of power generation,transmission,distribution and sale in China,and evaluates the risks in different links of the electricity market that can be avoided through the financial derivatives of the electricity market.The risks evaluated in the power generation sector include short-term cost recovery risk,non-performance risk and location basis risk.The risk evaluated in transmission(distribution)link is the risk of transmission congestion;The risks evaluated in the electricity sale link include the risk of price fluctuation and the risk of unfair welfare distribution in the electricity sale link under the cross-province transaction.Based on the market risk of the evaluation of the design of power forward contract,power futures and power options products,the design content includes product types,contract terms,settlement method and so on,the main terms include contract specifications,margin level,minimum quotation unit,limit range,settlement price,etc.The design content of financial transmission right includes transaction subject,distribution method,auction method,supervision design,etc.The design of government-authorized contract for difference includes benchmark price,contract price and contract quantity.Comprehensive use of a variety of models to design the specific contract terms of power financial derivatives,such as the use of extreme value theory and econometrics model to design the margin level and the limit range of power futures and options.Using the relative minimum change price method to design the minimum change price.The auction methods of financial transmission rights are designed by using single and bilateral auction model and mixed auction model.Finally,the design effectiveness of the designed power financial derivatives was evaluated,and the evaluation index system of the five products was constructed.Contains the spot market price fluctuation degree of risk aversion,blocking the degree of risk aversion,interregional trade sell electricity area distribution of welfare improvement,,real electricity price discovery degrees,auction fair degree,th e degree of improvement in the high cost of power generation,product types rich degrees,credit degree of risk aversion,price limit risk aversion,product trading frequency and electricity option pricing effectiveness,etc.Using the method of analytic hierarchy process to set the weight,and then realize the comprehensive evaluation by linear weighting,and use the US PJM market data as a sample to analyze the example,which further verifies the effectiveness of the evaluation index system constructed in this paper.The innovation of this paper is to evaluate the power market risks that can be avoided by using electric power financial derivatives,and design electric power financial derivatives based on international experience,current development status of China’s power market,subjective and objective perspectives,etc.Provide reference for the design and evaluation of China’s future power financial derivatives.