甘倍瑜;王健;田琳;徐立新;季天瑶;荆朝霞;

• 1:华南理工大学电力学院
• 2:广东电力交易中心有限责任公司
• 3:华南理工大学经济与贸易学院

摘要(Abstract)：

违约风险量化是电力市场中央对手方进行市场违约风险管理的必要环节和重要内容。对美国电力市场违约风险的量化方法进行分析,并提出了一种新的风险量化公式。从时间和品种两个维度,对美国电力市场违约风险的量化思路进行分析;并将违约风险量化使用的方法划分为债务直接预测法和量价预测法,预测的数学方法包括可单一使用的数学方法(加权平均法等)及其组合使用,讨论了不同方法的特点,并考虑数据波动时效性创新性提出了新的风险量化公式,通过算例验证了上述分析。最后对国内电力市场给出了下列建议:违约风险量化需结合风控手段、结算方式和风险偏好,通过缩短结算周期、预付费制度来优化结算制度。

关键词(KeyWords)： 美国电力市场;违约风险;中央对手方;信用;风险量化

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 甘倍瑜;王健;田琳;徐立新;季天瑶;荆朝霞;

Email:

DOI: 10.13335/j.1000-3673.pst.2019.1392

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