【作者】 张权；

【导师】 周浩；

【作者基本信息】 浙江大学 ， 电力系统及其自动化， 2006， 硕士

【摘要】 当前,电力工业在全世界范围内正经历着前所未有的变革。改革中的电力市场充满了众多不确定性因素,特别是由于价格的剧烈波动,给市场中各参与主体带来了前所未有的金融风险。然而,电力工业作为国民经济的基础产业,其改革牵涉国计民生,不容出错。如何在竞争的电力市场中建立有效的风险规避和防范机制,已成为当前电力市场化改革中迫切需要研究和解决的课题。 本文首先从电力系统自身的特殊性出发,对电力市场中的价格飞升现象进行了详细的分析和研究。分析结果表明:众多发电商利用电能不可大规模有效存储的固有特性和系统要求供需实时平衡的特性,采取相应的报价策略是导致电力市场中价格飞升的根本原因。 然后,针对电力市场中各参与者所面临的中长期电价金融风险,本文就如何利用电力远期合约、电力差价合约和电力期货合约等中长期合约交易进行电价金融风险的规避作了详细的分析和介绍。 最后,结合我国当前电力市场化改革的实际情况,本文提出一种基于远期合约的“电力远期期权合约模型”,并对电力远期期权交易采用如差价期权、组合期权等不同交易策略时的情况进行了详细分析。分析结果表明:电力远期期权合约交易不仅能为合约双方提供更为丰富的收益组合,提高其对交易的可控性,而且能很好的分散电力市场中由于电价、负荷等众多不确定性因素所产生的电价风险,有利于电价的平稳和电力市场的稳定运营。更多还原

【Abstract】 Electric power industries are undergoing restructuring all over the world. While the details differ, the essence is of one accord that is introduction of competition into the conventional electricity generation suppliers. With the developing of the worldwide reform of electricity market, the participants of the market have been encountering unprecedented market risk, especially huge financial risk evoked by the price fluctuations. Thereby, the issue of establishing an effective mechanism to avoid the risk in the electricity market need to be studied and solved urgently so as to make the reform further proceed smoothly.The paper derives System Price Capacity Percent from the relation between price and system capacity and analyzes of the price spiking phenomenon in Zhejiang electricity. The result indicates that the electricity generation suppliers’ relevant tactic, which is made according to the power’s inherent characteristic that is impossible to deposit on a large scale and the requirement of the system that is the power in system should be kept balance, the phenomenon of price spiking emerges.To avoid the medium and long-term electricity price financial risk, the paper has introduced the medium and long-term contract trades such as electricity forward contracts, electricity contract for differences and electricity futures.According to the present situation the paper proposes the forward options model which is based on the forward contracts, and analyses some attractive trading strategies involving the forward options in detail. The conclusion makes clear that the various trade strategies of forward option will not only bring much more profit or loss combination, but will be better for the trade and spot price. It also reduces the market risk produced by uncertain factors such as price and load. Furthermore it is good at improving the controllability and strengthening the stabilization of price.更多还原