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An electric power market credit risk multi-variety net amount quantification method

A technology of electricity market and quantitative method, applied in data processing applications, instruments, finance, etc., can solve the problem of low risk quantification accuracy and achieve the effect of reducing collateral requirements

Inactive Publication Date: 2019-06-18
广东电力交易中心有限责任公司
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  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0004] In order to overcome the defect that the market risk net amount quantification mechanism described in the prior art has low accuracy in risk quantification, the present invention provides a multi-variety net amount quantification method for credit risk in the electricity market

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  • An electric power market credit risk multi-variety net amount quantification method
  • An electric power market credit risk multi-variety net amount quantification method
  • An electric power market credit risk multi-variety net amount quantification method

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Embodiment Construction

[0030] The accompanying drawings are for illustrative purposes only and cannot be construed as limiting the patent;

[0031] In order to better illustrate this embodiment, some parts in the drawings will be omitted, enlarged or reduced, and do not represent the size of the actual product;

[0032] For those skilled in the art, it is understandable that some well-known structures and descriptions thereof may be omitted in the drawings.

[0033] The technical solutions of the present invention will be further described below in conjunction with the accompanying drawings and embodiments.

[0034] This embodiment provides a method for quantifying the multi-variety net amount of credit risk in the electricity market.

[0035] Such as figure 1 Shown, method of the present invention comprises the following steps:

[0036] S1: Decompose the curves of the trading varieties held by market players, and calculate their decomposed credit risk values;

[0037] Decompose the trading vari...

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Abstract

The invention relates to an electric power market credit risk multi-variety net amount quantification method comprising the following steps: S1, carrying out curve decomposition on a transaction variety held by a market subject, and calculating a decomposed credit risk value of the transaction variety; S2, quantifying the multi-variety net amount risk in the particle period to obtain a net amountrisk value; S3, according to the quantized net amount risk value, carrying out credit risk total risk exposure calculation of the market subject. According to the electric power market credit risk multi-variety net amount quantification method provided by the invention, the market net amount risk quantification mechanism can more accurately quantify the risk in combination with an actual settlement mechanism, so that the collateral security requirements of electricity selling companies participating in medium and long-term markets are reduced.

Description

technical field [0001] The present invention relates to the field of electric power market credit risk assessment, and more specifically, relates to a method for quantifying multi-variety net amount of credit risk in the electric power market. Background technique [0002] The transaction settlement model of the domestic electricity market is usually that the trading center is responsible for netting and issuing bills, and the power grid is responsible for the capital delivery with market members. Under this settlement model, the creditor-debt relationship of electricity sales companies in the medium and long-term wholesale market, spot wholesale market and retail market will be transformed into claims between the electricity sales company and the central counterparty, namely the power grid. debt relationship. The counterparty credit risk assessment of electricity sales companies needs to consider the risks of multiple varieties in the medium and long-term wholesale market,...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06Q40/04G06Q50/06
Inventor 田琳孙谦杨骏伟黄远明黄志生甘倍瑜荆朝霞季天瑶徐立新盛剑胜谢宇霆胡秀珍覃捷
Owner 广东电力交易中心有限责任公司
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