利用差价合同和金融输电权的组合规避电力市场风险  

USE OF CFDS AND FTRS TO HEDGE AGAINST RISKS OF POWER MARKET

作　　者：陈晓林[1] 刘俊勇[2] 宋永华 王平[1] 苏少春[1] 

机构地区：[1]四川省电力公司总经理工作部,四川省成都市610041 [2]四川大学电气信息学院,四川省成都市610045 [3]英国Brunel大学

出　　处：《中国电机工程学报》2005年第10期75-81,共7页Proceedings of the CSEE

摘　　要：CfD和FTR是典型的金融工具,CfD主要用于规避随机电价风险,而FTR主要规避由于阻塞带来的风险。该文通过二者的组合来规避随机电价和阻塞风险,并在此基础上提出了市场参与者在实时市场最优调度模型下的收入最低裕度限制约束条件,从而较好地解决了电网及市场参与者在风险与利润之间的平衡问题。IEEE30节点系统的详细计算和分析论证了上述方法。The concepts of two typical financial instruments, CfDs and FTRs, and how they have been used to hedge against price risks are introduced first. The basic model of optimal dispatch in the spot market and the fundamentals of LMP theory are then presented. In particular, the impact of bus generation and load limits on nodal prices are emphasized from the analysis of different forms of nodal price. After that, on the basis of the typical spot market dispatch model, some new individual revenue adequacy constraints are added to produce a more reasonable result for bilateral contract delivery in transmission congestion situations. An iterative procedure is employed to solve the formulated complex problem with dual variables in constraints. A 5-bus system and the IEEE 30-bus system are analyzed to illustrate the proposed approach.

关 键 词：电力工业 电价 电力市场 风险 差价合同 金融输电权 

分 类 号：F407.61[经济管理—产业经济]