| Summary: | China is pushing ahead with the development of the electricity market based on renewable energies. Electricity futures and options are an important trading instrument in the electricity market, and margins in the electricity market are often used to measure the value at risk of derivatives such as options on electricity futures, which are usually calculated based on the SPAN system. However, traditional SPAN systems do not take into account the integrity of electricity (IoE) derivatives, which would affect the risk valuing and capital usage efficiency. This paper proposed an improved margin calculation method that considers the IoE and gave an example for explanation. Compared with the previous calculating method, the method can effectively control the sharp fluctuations in electricity prices when renewable energy sources are traded in the electricity market, and effectively control the default risk in the market.
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