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,二者之闻的利益关系越,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 related upstream and downstream industries. Coal price marketization and electricity price regulation made coal price be the sensitive factor to generators' benefits. In recent years, coal price negotiation has been very intense, and coal-electricity interests relationship has been more and more difficult to coordinate. As a financial tool, contracts for differences (CFD) can help both balance interests and reduce risks caused by spot price fluctuating. Risk and benefit measurement models were established between coal suppliers and power generators, and then risk and benefit balance optimization models of contract negotiation were constructed. A numeric example showed that above models would be effectively used to avoid risks of coal-electricity parties.