金融衍生工具在电力市场风险管理中的应用研究
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摘要
为打破垄断，鼓励竞争，提高效率而进行的世界范围的电力工业结构重组和放松管制与再管制，在引导电力工业市场化运营的同时，也使得各个市场主体面临着前所未有的市场风险。由于各种原因，自从电力工业市场化运营以来，电力已成为价格最易变的一种商品。电力市场中电价的易变性使得各个市场参与者都面临巨大的利益损失风险，如果不加以有效的防范，将会导致灾难性的后果。
充分发挥电力市场现货交易中价格的调节能力，有利于资源的合理配置。但与此同时，现货市场上的高风险却损害了电力市场的平稳运行。远期、期货和期权等金融衍生工具具有减少或转移风险的功能，可以在一定程度上避免现货市场中的风险。因此，在电力市场改革进程中运用这些金融衍生工具进行风险管理已日渐重要和日趋紧迫。
本论文从电力生产尤其是电力交易的特点出发，运用微观经济学、金融学、随机数学和规划数学等原理和工具，结合电力生产和消费的实践，围绕金融衍生工具在电力市场交易中的应用问题展开了全面深入的研究。论文首先分析比较了电力交易的几种方式及其适用的环境，阐述了电力期货的功能和意义；简要介绍了电力期权和互换的概念与作用；重点研究运用金融衍生工具的理论分析远期合约、期货合约、可选择远期合约和差价合约等几种电力合约的规避或降低风险的机理、合约价格或敲定价格的设定及市场参与者对这些工具的响应和运用这些工具的策略。
The worldwide restructuring and deregulation of electric power industry has led to an active electricity market with much more risk to market participants that they did not have to face during the regulated era .As effective tools for risk management and bilateral transaction, forward contracts or optional forward contracts, futures contract, option contract, have been widely used in competitive electricity markets, and in the future, swaps will also be used. So, to accelerate the electric industry healthily and orderly, systematic study of application of these financial derivative instrument to electricity power market exchange, which is the subject of this paper, is important and urgent.
After introduction, three exchange modes of electricity market are compared in chapter 1. Chapter 2 reports a study of the use of forward contracts as risk sharing instruments for electricity industries operating under spot price, price setting and appropriate participant responses are discussed. Chapter 3 is concerned with electricity futures contract, the conception of electricity futures is introduced, the characteristics of electricity futures are detailedly discussed, the problems and difficulties in hedging with electricity futures are lucubrated, improved method is proposed. Chapter 4 briefly introduces the use of options and swaps in electricity market. Three type of option forward contract: interruptible, or callable, forward contract; its supply-side analogue, puttable contract; and their combination, bilateral optional electricity forward contract, are reported in chapter 5, these contracts allow market participants to take advantage of flexibility in generation or consumption to obtain a monetary benefit, while simultaneously removing the risk of market price fluctuations. In chapter 6 of this paper, various contracts for difference are discussed. The last part of this paper is conclusion and prospect.
充分发挥电力市场现货交易中价格的调节能力，有利于资源的合理配置。但与此同时，现货市场上的高风险却损害了电力市场的平稳运行。远期、期货和期权等金融衍生工具具有减少或转移风险的功能，可以在一定程度上避免现货市场中的风险。因此，在电力市场改革进程中运用这些金融衍生工具进行风险管理已日渐重要和日趋紧迫。
本论文从电力生产尤其是电力交易的特点出发，运用微观经济学、金融学、随机数学和规划数学等原理和工具，结合电力生产和消费的实践，围绕金融衍生工具在电力市场交易中的应用问题展开了全面深入的研究。论文首先分析比较了电力交易的几种方式及其适用的环境，阐述了电力期货的功能和意义；简要介绍了电力期权和互换的概念与作用；重点研究运用金融衍生工具的理论分析远期合约、期货合约、可选择远期合约和差价合约等几种电力合约的规避或降低风险的机理、合约价格或敲定价格的设定及市场参与者对这些工具的响应和运用这些工具的策略。
The worldwide restructuring and deregulation of electric power industry has led to an active electricity market with much more risk to market participants that they did not have to face during the regulated era .As effective tools for risk management and bilateral transaction, forward contracts or optional forward contracts, futures contract, option contract, have been widely used in competitive electricity markets, and in the future, swaps will also be used. So, to accelerate the electric industry healthily and orderly, systematic study of application of these financial derivative instrument to electricity power market exchange, which is the subject of this paper, is important and urgent.
After introduction, three exchange modes of electricity market are compared in chapter 1. Chapter 2 reports a study of the use of forward contracts as risk sharing instruments for electricity industries operating under spot price, price setting and appropriate participant responses are discussed. Chapter 3 is concerned with electricity futures contract, the conception of electricity futures is introduced, the characteristics of electricity futures are detailedly discussed, the problems and difficulties in hedging with electricity futures are lucubrated, improved method is proposed. Chapter 4 briefly introduces the use of options and swaps in electricity market. Three type of option forward contract: interruptible, or callable, forward contract; its supply-side analogue, puttable contract; and their combination, bilateral optional electricity forward contract, are reported in chapter 5, these contracts allow market participants to take advantage of flexibility in generation or consumption to obtain a monetary benefit, while simultaneously removing the risk of market price fluctuations. In chapter 6 of this paper, various contracts for difference are discussed. The last part of this paper is conclusion and prospect.
引文
宋永华, 孙锦鑫. 英国将推出电力市场新模式. 电网技术, 1999, 23(8):69～73
Mielczarski W, Michalik G. Open Electricity Markets inAustralia: Contract and Spot Prices. IEEE Power Engineering Review, 1999, 19(2): 49～51
DengSJ.Financial Method in Competitive Electricity Markets:[Ph D Dissertation]. University of California at Berkeley, 1999
Gedra T W, Varaiya P P. Markets and Pricing for Interruptible Electric Power. IEEE Trans on Power Systems,1993, 8(1): 122～128
Gedra T W. Optional Forward Contracts for Electric Power Markets. IEEE Trans on Power Systems,1994, 9(4): 1766～1773
Oren S S. Combining Financial Double Call Options with Real Options for Early Curtailment of Electricity Service. In: IEEE Proceedings of the 32nd Hawaii International Conference on System Sciences. Hawaii: 1999. 1～7
Kamat R, Oren S S. Exotic Options for Interruptible Electricity Supply Contracts. Power Working Paper PWP-071. University of California Energy Institiute, 2000
David A K. Modeling Risk in Energy Contracts with Investor Owned Generation. IEE Proceeding-Generation, Transmission & Distribution, 1994,141(1): 75~80
David A K.Risk Modeling in Energy Contracts Between Host Utilities and BOT Plant Investora.IEEE Trans on Power System, 1996,11(2): 359~365
R. J. Kaye, H. R. Outhred, C. H. Bannister. Forward contracts for the operation of an electricity industry under spot pricing. IEEE Trans On Power System, 1990,5(2): 46~52
C. S. Chen, J. T. Leu. Interruptible load control for Taiwan Power Company. IEEE Trans on Power Systems, 1990, 5(2): 460~465
张少华，李渝曾，王少华，言茂松. 结合期权理论的双边可选择远期合同模型. 电力系统自动化,2001,25(21):28~32
Bjorgan R, Liu C C, Dahlgran R. Pricing Flexible Eletricity Contracts.IEEE Trans on power System, 2000,15(2): 477~482
张少华. 电力市场远期合同的风险建模理论研究: [博士学位论文]. 上海: 上海大学, 2000
Zhang S H, Li Y Z. Concise Method for evaluating the Probability Distribution of the Marginal Cost of Power Generation. IEE Proceedings Generation, Transmission & Distribution, 2000, 147(3): 137～142
Zhang S H, Li Y Z. Modeling Consumer's Demand Uncertainty in Electricity Forward Contracts. In: IEE Proceedings of the 5th International Conference on Advances in Power System Control, Operation and Management. Hong Kong: 2000. 455～459
Klemperer P D, Meyer M A. Supply Function Equilibriain Oligopoly Under Uncertainty. Econometrics, 1989, 57(6): 1243～1277
Allaz B, Vila J. Cournot Competition, Forward Markets and Efficiency. Journal of Economic Theory, 1993, 59(1): 1～16
Powell A. Trading Forward in an Imperfect Market: The Case of Electricity in Britain. The Economic Journal, 1993, 103(3): 444～453
Newbery D M. Competition, Contracts, and Entry in the Electricity Spot Market. RAND Journal of Economics, 1998, 29(4): 726～749
Green R J. The Electricity Contract Market in England and Wales. Journal of Industrial Economics, 1999, 47(1): 107～124
张少华, 李渝曾, 周永兴, 等. 考虑电力差价合同的发电厂报价策略研究. 电力系统自动化, 2000, 24(8): 15～18
Robert A Colins. The Economics of Electricity Hedging and a Proposed Modification for the Futures Contract for Electricity. IEEE Transactions on Power Systems, 2002, 17(1): 100~107
Eva Tanlapco, Jacques Lawarrée, Chen-Ching Liu. Hedging With Futures Contracts in a Deregulated Electricity Industry. IEEE Trans On Power System, 2002,17(3): 577~582
Chi-Keung Woo, Ira Horowitz, Khoa Hoang. Cross hedging and forward-contract pricing of electricity. Energy Economics, 23(2001): 1~15
Ghosh K, Ramesh V C. An Options Model for Electric Power Markets. Electrical Power and Energy Systems, 1997, 19(2): 75～85
Rashidinejad M, Song Y H, Javidi M H. Option Pricing of Spinning Reserve in a Deregulated Electricity Market. IEEE Power Engineering Review, 2000, 20(7): 39～40
Matt Davison, C. Lindsay Anderson, Ben Marcus, and Karen Anderson. Development of a Hybrid Model for Electrical Power Spot Prices. IEEE Trans On Power System, 2002,17(2): 257~264
Karan Bhanot. Value of an option to purchase electric power—the case of uncertain consumption. Energy Economics 24(2002):121~137
Bjorgan R, Liu C C, Lawarrée J. Financial Risk Management in a Competitive Electricity Market. IEEE Trans on Power Systems, 1999, 14(4): 1285～1291
Siddiqi S N. Project Valuation and Power Portfolio Management in a Competitive Market. IEEE Trans on Power Systems, 2000, 15(1): 116～121
张少华，李渝曾，王长军等．电力市场中的远期合同交易．电力系统自动化，2001，25(10)：6～10
辛耀中，韩放，李毅松等．美国东西部电力市场的分析比较．电力系统自动化，2001，25(8)：12～15
于尔铿，韩放，谢开等．电力市场．北京：中国电力出版社，1998
邢卫国，林继铿，文福栓等．三峡电力市场及未来国家电力市场的层次结构之探讨．电力系统自动化，2001，25(11)：12～16
邢卫国，林继铿，文福栓等．三峡电力市场竞争模式、交易商品与交易方式之建议．电力系统自动化，2001，25(12)：8—12
林济铿，文福栓，祁达才等．三峡电力市场的运营与电力系统的运行研究．电力系统自动化，2001，25(17)：11—17
李扣庆，陈学彬．商品期货学．上海：上海三联书店，1996
赵学顺，黄民翔，韩祯祥．电力市场中风险规避问题的研究(一)——不同电力市场阶段风险规避模型．电力系统自动化，2001，25(7)：14—19
赵晋泉，侯志俭，吴际舜．电力市场中的交易模式和传输拥挤管理．电力系统自动化，1999，23(20)：5—8
T. Ishikida and P. P. Varaiya. Pricing of electric power under uncertainty: Information and efficiency. IEEE Trans.Power Systems, 1995,10(2), 884~889
M. L. Baughrnan, S. N. Siddiqi, I. W. Zarnikau. Advanced pricing in electrical system. Ⅰ. Theory. IEEE Trans. Power Systems, vol.1997, 12(1), 489~495
M. L. Baughrnan, S. N. Siddiqi, I. W. Zarnikau. Advanced pricing in electrical system.Ⅱ.Implementation. IEEE Trans.Power Systems, 1997,12(1), 496~502
G. B. Sheble. Priced based operation in an auction market structure. IEEE Trans.Power Systems, 1996,2(4), 1770~1777.
杨炘. 证券投资理论及应用. 北京：航空工业出版社，1994
Cheng D.T.Y. Economic analysis of the electricity market in England and Wales. IEEE Power Engineering Review, 1999, 19(4): 57~59
约翰·赫尔. 期权、期货和其他衍生产品. 第3版. 北京. 华夏出版社，2000
周概容. 概率论与数理统计.北京:高等教育出版社,1984
胡昌生等. 证券投资学. 武汉：武汉大学出版社，2002
Mielczarski W, Michalik G. Open Electricity Markets inAustralia: Contract and Spot Prices. IEEE Power Engineering Review, 1999, 19(2): 49～51
DengSJ.Financial Method in Competitive Electricity Markets:[Ph D Dissertation]. University of California at Berkeley, 1999
Gedra T W, Varaiya P P. Markets and Pricing for Interruptible Electric Power. IEEE Trans on Power Systems,1993, 8(1): 122～128
Gedra T W. Optional Forward Contracts for Electric Power Markets. IEEE Trans on Power Systems,1994, 9(4): 1766～1773
Oren S S. Combining Financial Double Call Options with Real Options for Early Curtailment of Electricity Service. In: IEEE Proceedings of the 32nd Hawaii International Conference on System Sciences. Hawaii: 1999. 1～7
Kamat R, Oren S S. Exotic Options for Interruptible Electricity Supply Contracts. Power Working Paper PWP-071. University of California Energy Institiute, 2000
David A K. Modeling Risk in Energy Contracts with Investor Owned Generation. IEE Proceeding-Generation, Transmission & Distribution, 1994,141(1): 75~80
David A K.Risk Modeling in Energy Contracts Between Host Utilities and BOT Plant Investora.IEEE Trans on Power System, 1996,11(2): 359~365
R. J. Kaye, H. R. Outhred, C. H. Bannister. Forward contracts for the operation of an electricity industry under spot pricing. IEEE Trans On Power System, 1990,5(2): 46~52
C. S. Chen, J. T. Leu. Interruptible load control for Taiwan Power Company. IEEE Trans on Power Systems, 1990, 5(2): 460~465
张少华，李渝曾，王少华，言茂松. 结合期权理论的双边可选择远期合同模型. 电力系统自动化,2001,25(21):28~32
Bjorgan R, Liu C C, Dahlgran R. Pricing Flexible Eletricity Contracts.IEEE Trans on power System, 2000,15(2): 477~482
张少华. 电力市场远期合同的风险建模理论研究: [博士学位论文]. 上海: 上海大学, 2000
Zhang S H, Li Y Z. Concise Method for evaluating the Probability Distribution of the Marginal Cost of Power Generation. IEE Proceedings Generation, Transmission & Distribution, 2000, 147(3): 137～142
Zhang S H, Li Y Z. Modeling Consumer's Demand Uncertainty in Electricity Forward Contracts. In: IEE Proceedings of the 5th International Conference on Advances in Power System Control, Operation and Management. Hong Kong: 2000. 455～459
Klemperer P D, Meyer M A. Supply Function Equilibriain Oligopoly Under Uncertainty. Econometrics, 1989, 57(6): 1243～1277
Allaz B, Vila J. Cournot Competition, Forward Markets and Efficiency. Journal of Economic Theory, 1993, 59(1): 1～16
Powell A. Trading Forward in an Imperfect Market: The Case of Electricity in Britain. The Economic Journal, 1993, 103(3): 444～453
Newbery D M. Competition, Contracts, and Entry in the Electricity Spot Market. RAND Journal of Economics, 1998, 29(4): 726～749
Green R J. The Electricity Contract Market in England and Wales. Journal of Industrial Economics, 1999, 47(1): 107～124
张少华, 李渝曾, 周永兴, 等. 考虑电力差价合同的发电厂报价策略研究. 电力系统自动化, 2000, 24(8): 15～18
Robert A Colins. The Economics of Electricity Hedging and a Proposed Modification for the Futures Contract for Electricity. IEEE Transactions on Power Systems, 2002, 17(1): 100~107
Eva Tanlapco, Jacques Lawarrée, Chen-Ching Liu. Hedging With Futures Contracts in a Deregulated Electricity Industry. IEEE Trans On Power System, 2002,17(3): 577~582
Chi-Keung Woo, Ira Horowitz, Khoa Hoang. Cross hedging and forward-contract pricing of electricity. Energy Economics, 23(2001): 1~15
Ghosh K, Ramesh V C. An Options Model for Electric Power Markets. Electrical Power and Energy Systems, 1997, 19(2): 75～85
Rashidinejad M, Song Y H, Javidi M H. Option Pricing of Spinning Reserve in a Deregulated Electricity Market. IEEE Power Engineering Review, 2000, 20(7): 39～40
Matt Davison, C. Lindsay Anderson, Ben Marcus, and Karen Anderson. Development of a Hybrid Model for Electrical Power Spot Prices. IEEE Trans On Power System, 2002,17(2): 257~264
Karan Bhanot. Value of an option to purchase electric power—the case of uncertain consumption. Energy Economics 24(2002):121~137
Bjorgan R, Liu C C, Lawarrée J. Financial Risk Management in a Competitive Electricity Market. IEEE Trans on Power Systems, 1999, 14(4): 1285～1291
Siddiqi S N. Project Valuation and Power Portfolio Management in a Competitive Market. IEEE Trans on Power Systems, 2000, 15(1): 116～121
张少华，李渝曾，王长军等．电力市场中的远期合同交易．电力系统自动化，2001，25(10)：6～10
辛耀中，韩放，李毅松等．美国东西部电力市场的分析比较．电力系统自动化，2001，25(8)：12～15
于尔铿，韩放，谢开等．电力市场．北京：中国电力出版社，1998
邢卫国，林继铿，文福栓等．三峡电力市场及未来国家电力市场的层次结构之探讨．电力系统自动化，2001，25(11)：12～16
邢卫国，林继铿，文福栓等．三峡电力市场竞争模式、交易商品与交易方式之建议．电力系统自动化，2001，25(12)：8—12
林济铿，文福栓，祁达才等．三峡电力市场的运营与电力系统的运行研究．电力系统自动化，2001，25(17)：11—17
李扣庆，陈学彬．商品期货学．上海：上海三联书店，1996
赵学顺，黄民翔，韩祯祥．电力市场中风险规避问题的研究(一)——不同电力市场阶段风险规避模型．电力系统自动化，2001，25(7)：14—19
赵晋泉，侯志俭，吴际舜．电力市场中的交易模式和传输拥挤管理．电力系统自动化，1999，23(20)：5—8
T. Ishikida and P. P. Varaiya. Pricing of electric power under uncertainty: Information and efficiency. IEEE Trans.Power Systems, 1995,10(2), 884~889
M. L. Baughrnan, S. N. Siddiqi, I. W. Zarnikau. Advanced pricing in electrical system. Ⅰ. Theory. IEEE Trans. Power Systems, vol.1997, 12(1), 489~495
M. L. Baughrnan, S. N. Siddiqi, I. W. Zarnikau. Advanced pricing in electrical system.Ⅱ.Implementation. IEEE Trans.Power Systems, 1997,12(1), 496~502
G. B. Sheble. Priced based operation in an auction market structure. IEEE Trans.Power Systems, 1996,2(4), 1770~1777.
杨炘. 证券投资理论及应用. 北京：航空工业出版社，1994
Cheng D.T.Y. Economic analysis of the electricity market in England and Wales. IEEE Power Engineering Review, 1999, 19(4): 57~59
约翰·赫尔. 期权、期货和其他衍生产品. 第3版. 北京. 华夏出版社，2000
周概容. 概率论与数理统计.北京:高等教育出版社,1984
胡昌生等. 证券投资学. 武汉：武汉大学出版社，2002