Study On Default Risk Quantification And Control Strategy In Electricity Market

Default risk means the possibility that the debtor of the post-payment debtor cannot pay the creditor 's debt in full and on time.The risk of default refers to the possibility that the debtor of the post-payment debtor cannot pay the creditor 's debt in full and on time.The commodities traded in the electricity market usually have the nature of being used before paying,so there is a natural risk of default.Because of the central counterparty liquidation in the floor trading,the default risk of all market members are concentrated on the central counterparty(in domestic electricity markets,the central counterparties are usually grid companies),so it's vital for the central counterparty to control the default risk.This passage first extracts the framework of electricity market default risk control strategies,including market access mechanism,default risk quantification and monitoring mechanism,and default amount disposal,combined with specific practical experience analysis that to carry out the above mechanism design,it's necessary to consider the market development and the central counterparty's own needs.Finally,the default risk control strategies are analyzed based on electricity market in China.Secondly,this passage summarizes the two core parts of "credit limit quantification and monitoring mechanism","credit limit assessment" and "quantity of default risk".It's pointed out that the credit limit of a market member is usually the sum of the unsecured credit limit and the amount of collaterals.Among them,the unsecured credit limit is determined jointly by a certain type of assets of the market member and a credit evaluation reflecting the market member 's probability of default and solvency,in which the specific parameters are determined considering the balance of the affordability of the central counterparty and the economic burden of market members.As for quantity of default risk,it can be found that the default risk quantification methods of different markets and trading products all follow the same quantitative model: it can be classified as the accumulation in the product dimension and the time dimension;The mathematical prediction methods are also weighted average method and el al.The parameter selection of the quantitative model is adjusted and selected according to different market risk control requirements.Finally,the two core parts mentioned above are analyzed based on electricity market in China.Finally,this passage specifically analyzes the quantification of Financial Transmission Right(FTR)market default risk,and improves the accuracy of FTR market default risk quantification by improving the forecasting method of FTR revenue.On the one hand,predicting the FTR revenue based on LSSVM with feature screening can improve the FTR revenue prediction,but the prediction stability is not high.On the other hand,based on the electricity market simulation in IEEE 30 nodes system,the change trend of FTR revenue under the two factors,different load growth rate and transmission capacity which is fixed or in continuous growth,points out the shortcomings of PJM's current FTR revenue prediction method: the FTR trading products should be set with different weight.Based on this analysis result,this passage proposes a classified weighting method of FTR revenue prediction,gives the "high precision conditions" that must be met to achieve high prediction accuracy,and analyzes its slack situation through an example.The passage then gives the FTR classification method based on "fundamental trend screening conditions" and "same trend conditions",which is verified based on the actual FTR trading data in PJM market that the method can improve the FTR revenue with appropriate parameters.