CAJ | 학술논문

电力现货交易市场属于实物交易市场的一种,具有很高的价格波动性,给市场参与者带来风险;考虑市场参与者不同的风险偏好和比较优势,利用电力价格互换,对冲电力价格波动的风险.首先介绍了金融市场和效用理论学科中应用较多的互换工具,并以此为基础建立了电力价格互换的风险对冲模型,解释了在开放的电力市场中如何利用价格互换来对冲风险,最后用算例分析表明价格互换工具可以有效地用于价格波动剧烈的市场中的风险控制,也可以作为电力公司不同的风险组合策略.
전력현화교역시장속우실물교역시장적일충,구유흔고적개격파동성,급시장삼여자대래풍험;고필시장삼여자불동적풍험편호화비교우세,이용전력개격호환,대충전력개격파동적풍험.수선개소료금융시장화효용이론학과중응용교다적호환공구,병이차위기출건립료전력개격호환적풍험대충모형,해석료재개방적전력시장중여하이용개격호환래대충풍험,최후용산례분석표명개격호환공구가이유효지용우개격파동극렬적시장중적풍험공제,야가이작위전력공사불동적풍험조합책략.
Electricity spot market is one of the commodity markets having high price volatility, which may expose participants to various types of risk. Subject to different risk preference and comparative advantage, participants can make use of power price swap as an effective tool to hedge the power price volatility risk. This paper presents a power price swap risk-hedging model based on swap tool in finance market and utility theory. It explains how the price swap can be used to hedge risk in open electricity market.Example of analysis is included to show the effect of the swap-based tool in cases of high price volatility market and different risk-taking profile of the utilities.