摘要
伴随我国电力市场改革的进程,电力期货有望成为新的期货交易品种,研究其套期保值功能下的发电商电能配置策略具有必要性。基于较成熟市场数据,首先通过一系列计量研究弥补了相关理论假设的不足,特别是对两电力风险市场报酬分布进行了更准确的刻画。在此基础上,文章分析了发电商的套期保值特点,并设计了一个以远期合同电量为标的、引入电力期货风险对冲机制的发电商利润模型,通过对指定目标进行模拟与仿真,证明其具有可行性以及可操作性。该模型可以帮助发电商在市场条件下更科学地进行电能资产的配置,以提高发电商在多市场条件下的利润与风险定量化管理水平。
Accompanied with the process of reform of electricity system in China, electricity futures are expected to become a new futures variety . It＇s meaningful to study generators power allocation strategy under the configuration of futures＇ hedging function. Based on the mature market data, this paper makes up for a deficiency of theoretical assumptions with a series of measures. This paper made a more accurate description of distribution on market reward from two risky electricity markets. The article analyzed the characteristics of generators＇ hedging and designed an innovative profit model for generators with a risk hedging mechanism in long--term forward contract.
出处
《湖南大学学报（社会科学版）》
CSSCI
北大核心
2010年第1期34-40,共7页
Journal of Hunan University(Social Sciences)
基金
湖南电力公司项目(897216011)的资助
关键词
电力期货
发电商
电能配置
套期保值
仿真模拟
electricity futures
generators
electricity allocation
hedging
analog simulation
