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煤炭与发电是紧密相关的两个上下游产业,但煤炭价格市场化,而发电上网价格由政府管制,煤炭价格对发电企业的利润影响非常敏感.近年来,煤炭合同价格谈判都是非常激烈,二者之间的利益关系越来越难以协调.差价合约作为一种金融工具,可以平衡合约双方利益,降低彼此由于现货价格大幅度波动造成的风险.构建了差价合约下煤炭供应商与发电商的风险、收益测度模型,在此基础上构建了二者之间合约谈判风险收益平衡优化模型.算例分析结果表明,该模型可以有效规避煤炭市场价格波动给煤电双方带来的风险.
Coal and power generation are closely related to the two upstream and downstream industries, but the market price of coal, while the price of electricity generation grid by the government regulation, the coal price is very sensitive to the profit of power generation companies.In recent years, coal contract price negotiations are very fierce, The interest relationship between the two parties is more and more difficult to be coordinated.As a financial instrument, CFD can balance the interests of both parties and reduce the risk caused by the sharp fluctuation of the spot price.Finally, the coal supplier and generator The model of risk and return measure is constructed, and then a risk-return equilibrium optimization model of the contract negotiation between the two is constructed.Examples show that the model can effectively avoid the risks brought by coal market price fluctuations to both coal and electricity.