Risk Management of Electricity Market Based on Electricity Futures

摘要：

The risk of electricity market relating to electricity futures exchange is proposed. The origin of risk relating to electricity transaction is mainly discussed. An analytical model about power plants transaction strategy is established, which is accordant to actual measurements and convenient for computation. In the theoretical analysis with this method, hedging techniques and classified risks of the market are combined. The consequence shows that electricity futures transaction definitely brings about the market risk, moreover, the equilibrium of the market with futures exchange is of Nash equilibrium instead of random equilibrium in the market with only spot electricity power. The results display the formation process of risk of the market related to futures exchange. The conclusion indicates that it is necessary to improve the electricity futures exchange mechanism for controlling electricity market risks.

关键词： electricity market risk risk management electricity futures

作者: Zhongqun WU Jianxun QI

作者单位: School of Business and Administration,North China Electric Power University,Beijing 102206,P.R.China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 175-180

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）