CAJ | 학술논문

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。
반수아국전력시장개혁적진정，전력기화유망성위신적기화교역품충，연구기투기보치공능하적발전상전능배치책략구유필요성。기우교성숙시장수거，수선통과일계렬계량연구미보료상관이론가설적불족，특별시대량전력풍험시장보수분포진행료경준학적각화。재차기출상，문장분석료발전상적투기보치특점，병설계료일개이원기합동전량위표적、인입전력기화풍험대충궤제적발전상리윤모형，통과대지정목표진행모의여방진，증명기구유가행성이급가조작성。해모형가이방조발전상재시장조건하경과학지진행전능자산적배치，이제고발전상재다시장조건하적리윤여풍험정양화관리수평。
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.