Power futures dynamic margin research - Based on SPAN system

Power futures market is the next stage of the development of the electricity spot market. In the power futures market, we must consider how to deal with the risks brought by the emerging power financial derivatives. Based on the analysis of the principle of dynamic margin system of SPAN (Standard Portfolio Analysis of Risk) futures, we introduced SPAN system into Chinese power futures market, and simulated the parameters by VaR and risk matrix. Then, this paper selects two power futures products of ICE (INTERCONTINENTAL EXCHANGE) for example analysis of this model. The results show that, compared with the current static margin system in China, SPAN futures dynamic margin system can reduce the margin level of power futures products for a long time and reduce the occupancy rate of funds. The dynamic margin system is an important direction for the development of domestic power futures market in the future.